Quasi-Monte Carlo for finance beyond Black--Scholes
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Publication:2976081
DOI10.21914/anziamj.v50i0.1407zbMath1360.91149OpenAlexW1919888214MaRDI QIDQ2976081
Publication date: 12 April 2017
Published in: ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21914/anziamj.v50i0.1407
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)