Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
From MaRDI portal
Publication:5740211
DOI10.1287/opre.2015.1470zbMath1342.91044OpenAlexW2275195990MaRDI QIDQ5740211
Publication date: 25 July 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2015.1470
simulationoption pricingdiscontinuityfinancequasi-Monte Carlo methodsfinancial engineeringeffective dimensionGreekspath simulation method
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Comparison of Sobol' sequences in financial applications ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ Screening: from tornado diagrams to effective dimensions
Cites Work
- Unnamed Item
- Unnamed Item
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- The effective dimension and quasi-Monte Carlo integration
- Quasi-Monte Carlo integration
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- Improving the rejection sampling method in quasi-Monte Carlo methods
- Low discrepancy sequences in high dimensions: how well are their projections distributed?
- Conditional Sampling for Barrier Option Pricing under the LT Method
- Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
- Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
- Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
- On the Convergence Rate of Randomized Quasi--Monte Carlo for Discontinuous Functions
- On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
- Quasi-Random Sequences and Their Discrepancies
- Estimating Security Price Derivatives Using Simulation
- Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
- High-dimensional integration: The quasi-Monte Carlo way
- Constructing Robust Good Lattice Rules for Computational Finance
- Estimating Mean Dimensionality of Analysis of Variance Decompositions
This page was built for publication: Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
