Randomized quasi-Monte Carlo methods in pricing securities
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Publication:953725
DOI10.1016/J.JEDC.2003.11.003zbMATH Open1202.91341OpenAlexW1966558972MaRDI QIDQ953725FDOQ953725
Authors: Giray Ökten, Warren Eastman 
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.003
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Cited In (25)
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Non-parametric partial importance sampling for financial derivative pricing
- High-performance financial simulation using randomized quasi-Monte Carlo methods
- Title not available (Why is that?)
- Parameterization based on randomized quasi-Monte Carlo methods
- A quasi-Monte Carlo implementation of the ziggurat method
- Monte Carlo methods for security pricing
- Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
- Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
- Stochastic ceteris paribus simulations
- Implementing de-biased estimators using mixed sequences
- Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
- An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution
- An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
- On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Monte Carlo and quasi-Monte Carlo methods for Dempster's rule of combination
- Fast delta computations in the swap-rate market model
- A goodness-of-fit test for copulas based on the collision test
- Applications of randomized low discrepancy sequences to the valuation of complex securities
- Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
- Efficient simulation of a multi-factor stochastic volatility model
- Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
- Quasi-Monte Carlo Methods in Numerical Finance
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