Constructing Robust Good Lattice Rules for Computational Finance

DOI10.1137/060650714zbMATH Open1132.91481OpenAlexW2002243597MaRDI QIDQ5453554FDOQ5453554

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

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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)

Cited In (7)

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

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