Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

DOI10.1080/1350486X.2015.1110492zbMath1396.91798OpenAlexW2101706513MaRDI QIDQ4682492

Mohammadreza Mohammadi, Kenneth R. Jackson, Duy Minh Dang

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2015.1110492

zbMATH Keywords

Fourier transformdimension reductionpartial differential equationsvariance reductionconditional Monte Carlocross-currency

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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