Constructing Robust Good Lattice Rules for Computational Finance

DOI10.1137/060650714MaRDI QIDQ5453554zbMATH OpenOpenAlexFDO

Authors Xiaoqun Wang

Publication date 3 April 2008

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/060650714

zbMATH Keywords

American optionsgood lattice rulesmultivariate integrationoption pricingquasi-Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(7)

• Random weights, robust lattice rules and the geometry of the \(cbcrc\) algorithm
• Pricing Options Using Lattice Rules
• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• On figures of merit for randomly-shifted lattice rules
• Efficient Weighted Lattice Rules with Applications to Finance
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
• Quasi-Monte Carlo methods with applications in finance

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