scientific article; zbMATH DE number 1390121

MaRDI QIDQ4934388zbMATH OpenFDO

Authors Giray Ökten

Publication date 26 July 2000

zbMATH Keywords

option pricingquasi-Monte Carlo methodsquasi-Monte Carlo simulationtransport theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
• Random sampling from low-discrepancy sequences: applications to option pricing
• Quasi-Monte Carlo for finance beyond Black-Scholes
• On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets

Describes a project that uses

Uses Software

• Algorithm 647

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