A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING

DOI10.1142/S021902491250046XzbMath1255.91424arXiv1311.4698MaRDI QIDQ4902541

Robert F. Tichy, Markus Hofer, Christoph Aistleitner

Publication date: 16 January 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4698

zbMATH Keywords

Monte Carlo; option pricing; Latin hypercube sampling; probabilistic methods; variance gamma; variance reduction techniques

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60F05: Central limit and other weak theorems

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

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