Intermediate rank lattice rules and applications to finance
DOI10.1016/J.APNUM.2007.11.024zbMATH Open1161.65003OpenAlexW2078698791MaRDI QIDQ960285FDOQ960285
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
Recommendations
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
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)
Cites Work
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- Lookback options with discrete and partial monitoring of the underlying price
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- Existence of good lattice points in the sense of Hlawka
- Parameters for Integrating Periodic Functions of Several Variables
- Component-By-Component Construction of Good Intermediate-Rank Lattice Rules
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- Intermediate Rank Lattice Rules for Multidimensional Integration
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
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