How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?

DOI10.1016/J.JCO.2011.10.011zbMATH Open1236.91145OpenAlexW2000687805MaRDI QIDQ413476FDOQ413476

Publication date: 7 May 2012

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2011.10.011

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cites Work

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Quasi-Random Sequences and Their Discrepancies
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
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Estimating Mean Dimensionality of Analysis of Variance Decompositions
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The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
Low discrepancy sequences in high dimensions: how well are their projections distributed?
New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
On the necessity of low-effective dimension
Path generation for quasi-Monte Carlo simulation of mortgage-backed securities
Generating Quasi-Random Paths for Stochastic Processes
Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

Cited In (8)

Brownian Path Generation and Polynomial Chaos
A computational investigation of the optimal Halton sequence in QMC applications
The hexanomial lattice for pricing multi-asset options
Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality
An iterative algorithm to determine the number of time steps in path generation methods
Efficient Monte Carlo simulation for integral functionals of Brownian motion
Quasi-Monte Carlo-based conditional pathwise method for option Greeks

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