Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options

DOI10.1007/s10203-009-0084-9zbMath1165.91411OpenAlexW1993093525MaRDI QIDQ1022420

Piergiacomo Sabino

Publication date: 22 June 2009

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0084-9

Mathematics Subject Classification ID

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

Related Items (4)

Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Pricing and hedging Asian basket options with quasi-Monte Carlo simulations ⋮ Implementing quasi-Monte Carlo simulations with linear transformations ⋮ An analysis of path-dependent options

Cites Work

• Implementing quasi-Monte Carlo simulations with linear transformations
• On the \(L_2\)-discrepancy for anchored boxes
• Latin supercube sampling for very high-dimensional simulations
• Implementation and tests of low-discrepancy sequences
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options