Quasi-Monte Carlo for finance applications

DOI10.21914/anziamj.v50i0.1440zbMath1360.91150OpenAlexW2119982803MaRDI QIDQ2976034

Michael B. Giles, Benjamin J. Waterhouse, Frances Y. Kuo, Ian H. Sloan

Publication date: 12 April 2017

Published in: ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/56c3a30ef67bdfb2ad497fbb288b9071c54c325a

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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