Intermediate rank lattice rules and applications to finance
DOI10.1016/j.apnum.2007.11.024zbMath1161.65003MaRDI QIDQ960285
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
Riemann zeta function; convergence; option pricing; Monte Carlo method; error bound; quadrature; low-discrepancy point sets; quasi-Monte Carlo method; computational finance; Sobol' sequences; good lattice rule; high dimensional numerical integration; intermediate rank lattice rules; Korbov type lattice rules; maximum rank rule
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
11K38: Irregularities of distribution, discrepancy
11K45: Pseudo-random numbers; Monte Carlo methods
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- Existence of good lattice points in the sense of Hlawka
- Tractability of multivariate integration for weighted Korobov classes
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- Pricing Options Using Lattice Rules
- Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
- Intermediate Rank Lattice Rules for Multidimensional Integration
- Lookback options with discrete and partial monitoring of the underlying price
