How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
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Publication:413476
DOI10.1016/j.jco.2011.10.011zbMath1236.91145OpenAlexW2000687805MaRDI QIDQ413476
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
principal component analysisasset pricingBrownian bridgequasi-Monte Carlo methodsANOVA decompositioneffective dimension
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
The hexanomial lattice for pricing multi-asset options ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality ⋮ A computational investigation of the optimal Halton sequence in QMC applications
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