Randomized quasi-Monte Carlo methods in pricing securities
From MaRDI portal
Publication:953725
DOI10.1016/j.jedc.2003.11.003zbMath1202.91341MaRDI QIDQ953725
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.003
option pricing; effects of Box-Muller and inverse transformation; survey of randomized quasi-Monte Carlo methods
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G20: Derivative securities (option pricing, hedging, etc.)
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Uses Software
Cites Work
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