Intermediate rank lattice rules and applications to finance

DOI10.1016/J.APNUM.2007.11.024MaRDI QIDQ960285zbMATH OpenOpenAlexFDO

Authors Yongzeng Lai

Publication date 16 December 2008

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2007.11.024

zbMATH Keywords

Riemann zeta functionconvergenceoption pricingSobol' sequenceserror boundMonte Carlo methodquadraturecomputational financequasi-Monte Carlo methodgood lattice rulehigh dimensional numerical integrationintermediate rank lattice rulesKorbov type lattice ruleslow-discrepancy point setsmaximum rank rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Recommendations

• Intermediate Rank Lattice Rules for Multidimensional Integration
• Lattice Integration Rules of Maximal Rank Formed by Copying Rank 1 Rules
• Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
• scientific article; zbMATH DE number 5532056
• scientific article; zbMATH DE number 4066213

Cites work

• scientific article; zbMATH DE number 3153486 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1103058 (Why is no real title available?)
• scientific article; zbMATH DE number 914714 (Why is no real title available?)
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• scientific article; zbMATH DE number 2237872 (Why is no real title available?)
• Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
• Component-by-component construction of good lattice rules
• Component-by-component construction of good lattice rules with a composite number of points
• Error bounds for rank 1 lattice quadrature rules modulo composites
• Existence of good lattice points in the sense of Hlawka
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Intermediate Rank Lattice Rules for Multidimensional Integration
• Lookback options with discrete and partial monitoring of the underlying price
• On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
• On the use of low discrepancy sequences in Monte Carlo methods
• Parameters for Integrating Periodic Functions of Several Variables
• Pricing Options Using Lattice Rules
• Tractability of multivariate integration for weighted Korobov classes

Cited in

(12)

• Valuation on an outside-reset option with multiple resettable levels and dates
• Efficient Weighted Lattice Rules with Applications to Finance
• Additive subordination and its applications in finance
• Generating inverse Gaussian random variates by approximation
• Expected integration approximation under general equal measure partition
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
• Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
• On a Full Monte Carlo Approach to Computational Finance
• Intermediate Rank Lattice Rules for Multidimensional Integration
• Pricing Options Using Lattice Rules
• Constructing Robust Good Lattice Rules for Computational Finance
• Component-By-Component Construction of Good Intermediate-Rank Lattice Rules

Describes a project that uses

Uses Software

• QSIMVN

This page was built for publication: Intermediate rank lattice rules and applications to finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q960285)