Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
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Publication:5693192
DOI10.1137/S1064827503429429zbMath1149.65303OpenAlexW2094199988MaRDI QIDQ5693192
Publication date: 22 September 2005
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1064827503429429
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical integration (65D30)
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