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

option pricingquasi-Monte Carlo methodsAmerican optionsmultivariate integrationgood lattice rules

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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