Randomized quasi-Monte Carlo methods in pricing securities
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Publication:953725
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Cited in
(25)- A quasi-Monte Carlo implementation of the ziggurat method
- Stochastic ceteris paribus simulations
- Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Implementing de-biased estimators using mixed sequences
- Applications of randomized low discrepancy sequences to the valuation of complex securities
- An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution
- Monte Carlo and quasi-Monte Carlo methods for Dempster's rule of combination
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- Monte Carlo methods for security pricing
- Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
- Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
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- Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
- Quasi-Monte Carlo Methods in Numerical Finance
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