Quasi-Monte Carlo methods with applications in finance

DOI10.1007/s00780-009-0095-yzbMath1199.65004OpenAlexW2165254608WikidataQ115201929 ScholiaQ115201929MaRDI QIDQ964676

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0095-y

zbMATH Keywords

numerical examples discrepancy variance reduction finance quasi-Monte Carlo methods effective dimension

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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