Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing (Q6158396)
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scientific article; zbMATH DE number 7698379
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing |
scientific article; zbMATH DE number 7698379 |
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Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing (English)
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20 June 2023
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adaptive sparse grid quadrature
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quasi-Monte Carlo
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numerical smoothing
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Brownian bridge
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Richardson extrapolation
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option pricing
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Monte Carlo
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distribution functions
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Greeks
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risk estimation
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