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
Fourier transformdimension reductionpartial differential equationsvariance reductionconditional Monte Carlocross-currency
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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