Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

DOI10.1080/14697688.2022.2135455zbMath1519.91286arXiv2111.01874MaRDI QIDQ6158396

Christian Bayer, Raúl Tempone, Chiheb Ben Hammouda

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.01874

zbMATH Keywords

Monte Carlooption pricingBrownian bridgeRichardson extrapolationdistribution functionsquasi-Monte Carlorisk estimationGreeksnumerical smoothingadaptive sparse grid quadrature

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30) Numerical approximation of high-dimensional functions; sparse grids (65D40)

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