scientific article; zbMATH DE number 1103058
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Publication:4369767
zbMATH Open0888.90010MaRDI QIDQ4369767FDOQ4369767
Authors: Peter Acworth, Mark Broadie, Paul Glasserman 
Publication date: 12 January 1998
Title of this publication is not available (Why is that?)
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- Comparison of least squares Monte Carlo methods with applications to energy real options
- A stochastic programming model for asset liability management of a Finnish pension company
- THE EFFECT OF RANDOMIZED LOW DISCREPANCY SEQUENCES IN OPTION PRICING(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- Fast orthogonal transforms and generation of Brownian paths
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
- Good lattice rules in weighted Korobov spaces with general weights
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Local antithetic sampling with scrambled nets
- Computation of optimal portfolios using simulation-based dimension reduction
- Intermediate rank lattice rules and applications to finance
- Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on \(\mathbb{R}^d\)
- Monte Carlo methods for security pricing
- Sufficient conditions for fast quasi-Monte Carlo convergence
- Towards hybrid system modeling of uncertain complex dynamical systems
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- Quasi-Monte Carlo simulation for American option sensitivities
- Path generation for quasi-Monte Carlo simulation of mortgage-backed securities
- Brownian path generation and polynomial chaos
- On initial populations of a genetic algorithm for continuous optimization problems
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
- Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
- Exact sampling with highly uniform point sets
- Integration in Hermite spaces of analytic functions
- On the use of dimension reduction techniques in quasi-Monte Carlo methods
- The linear-congruential-algorithm based lattice method in Asian option pricing
- Good point methods for computing prices and sensitivities of multi-asset European style options
- The sparse structure of high-dimensional integrands
- High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
- Low discrepancy sequences in high dimensions: how well are their projections distributed?
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- Randomized quasi-Monte Carlo methods in pricing securities
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Comparison of Sobol' sequences in financial applications
- A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing
- Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
- Randomly shifted lattice rules for unbounded integrands
- The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
- The effective dimension and quasi-Monte Carlo integration
- Quasi-Monte Carlo methods with applications in finance
- The price of pessimism for multidimensional quadrature
- Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Dimension-wise integration of high-dimensional functions with applications to finance
- Numerical Valuation of High Dimensional Multivariate European Securities
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