A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance

DOI10.1007/978-3-642-27440-4_34zbMath1270.91103MaRDI QIDQ5326133

Dirk Nuyens, Benjamin J. Waterhouse

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_34

zbMATH Keywords

performance; option pricing; quasi-Monte Carlo method; low effective dimension; point set re-ordering

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

Related Items

Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕}, Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction, High dimensional integration of kinks and jumps -- smoothing by preintegration, An iterative algorithm to determine the number of time steps in path generation methods, Conditional Sampling for Barrier Option Pricing Under the Heston Model

Uses Software

• CUBPACK
• MinT

Cites Work

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