Constructing Robust Good Lattice Rules for Computational Finance
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Publication:5453554
DOI10.1137/060650714zbMath1132.91481OpenAlexW2002243597MaRDI QIDQ5453554
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
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)
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