A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance

zbMATH Open1199.91258MaRDI QIDQ3392415FDOQ3392415

Authors: Alin V. Roşca 

Publication date: 14 August 2009

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zbMATH Keywords

option pricingnormal inverse Gaussian distributionMonte Carlo integrationquasi-Monte Carlo integration\(H\)-discrepancy\(H\)-distributed low-discrepancy sequences, \(H\)-mixed sequences

Mathematics Subject Classification ID

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

Cited In (8)

• Title not available (Why is that?)
• Applications of simulation methods to barrier options driven by Lévy processes
• A smooth estimator for MC/QMC methods in finance
• Mixing Monte-Carlo and partial differential equations for pricing options
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Mixing Monte Carlo and partial differential equations for pricing options
• Quasi-Monte Carlo Methods in Numerical Finance

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