A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING (Q4902541)
From MaRDI portal
scientific article; zbMATH DE number 6125921
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING |
scientific article; zbMATH DE number 6125921 |
Statements
A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING (English)
0 references
16 January 2013
0 references
Monte Carlo
0 references
variance reduction techniques
0 references
Latin hypercube sampling
0 references
option pricing
0 references
variance gamma
0 references
probabilistic methods
0 references
0 references
