Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction

DOI10.1137/15M1050380zbMath1364.91152MaRDI QIDQ5738153

Xiaoqun Wang, Chengfeng Weng, Zhijian He

Publication date: 31 May 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

smoothing; option pricing; dimension reduction; quasi-Monte Carlo; Greeks; \(k\)-means clustering algorithm

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

65D30: Numerical integration

Uses Software

• AS 136