Implementing quasi-Monte Carlo simulations with linear transformations

DOI10.1007/s10287-009-0104-9zbMath1231.91480arXiv0710.5872MaRDI QIDQ545523

Piergiacomo Sabino

Publication date: 22 June 2011

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.5872

zbMATH Keywords

linear transformations; effective dimensions; path-generation techniques; quasi-Monte Carlo simulations

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

Related Items

Multidimensional quasi-Monte Carlo Malliavin Greeks, Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options, Pricing and hedging Asian basket options with quasi-Monte Carlo simulations, CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

Uses Software

• AMLET

Cites Work

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