An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
DOI10.1016/J.EJOR.2016.03.034zbMATH Open1348.91288OpenAlexW2309752015MaRDI QIDQ323335FDOQ323335
Authors: Chengfeng Weng, Xiaoqun Wang, Zhijian He 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.034
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Cites Work
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- Modeling uncertainty. An examination of stochastic theory, methods, and applications
Cited In (4)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
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