Pages that link to "Item:Q964676"
From MaRDI portal
The following pages link to Quasi-Monte Carlo methods with applications in finance (Q964676):
Displaying 38 items.
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
- Variance bounds and existence results for randomly shifted lattice rules (Q421840) (← links)
- Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights (Q555032) (← links)
- Coupling from the past with randomized quasi-Monte Carlo (Q622169) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- On parallel asset-liability management in life insurance: a forward risk-neutral approach (Q991133) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Quasi-Monte Carlo point sets with small \(t\)-values and WAFOM (Q1643374) (← links)
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (Q1643844) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- Pricing Asian options via compound gamma and orthogonal polynomials (Q1659626) (← links)
- On the distribution of integration error by randomly-shifted lattice rules (Q1952088) (← links)
- Sorting methods and convergence rates for Array-RQMC: some empirical comparisons (Q1996950) (← links)
- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks (Q2044456) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- A numerical method for hedging Bermudan options under model uncertainty (Q2152245) (← links)
- The deep parametric PDE method and applications to option pricing (Q2161843) (← links)
- An algorithm to compute the \(t\)-value of a digital net and of its projections (Q2297127) (← links)
- Asymptotic normality of extensible grid sampling (Q2329748) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- Comparison of Sobol' sequences in financial applications (Q2417977) (← links)
- Efficient Monte Carlo simulation for integral functionals of Brownian motion (Q2442860) (← links)
- Conditional Sampling for Barrier Option Pricing Under the Heston Model (Q2926217) (← links)
- Smoothing the payoff for efficient computation of Basket option prices (Q4554434) (← links)
- Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning (Q5087735) (← links)
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (Q5131004) (← links)
- Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (Q5131414) (← links)
- Forward or backward simulation? A comparative study (Q5139227) (← links)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
- Computing Bayesian Means Using Simulation (Q5270661) (← links)
- On Figures of Merit for Randomly-Shifted Lattice Rules (Q5326103) (← links)
- SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS (Q5369445) (← links)
- Pricing Bermudan options using low-discrepancy mesh methods (Q5397421) (← links)
- A new method for generating approximation algorithms for financial mathematics applications (Q5745631) (← links)
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance (Q5856682) (← links)
- Density Estimation by Randomized Quasi-Monte Carlo (Q5858426) (← links)
- Convergence Analysis of a Quasi-Monte CarloBased Deep Learning Algorithm for Solving Partial Differential Equations (Q6151262) (← links)
