Acceleration of quasi-Monte Carlo approximations with applications in mathematical finance.

DOI10.1016/S0096-3003(02)00836-6zbMath1078.65518MaRDI QIDQ1415273

J. S. Severino, Harold Dean jun. Victory, Edward J. Allen

Publication date: 3 December 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

algorithmsnumerical examplesconvergence accelerationlow-discrepancy sequencesquasi-Monte Carlo methodMathematical financeweighted least-squares smoothing method

Mathematics Subject Classification ID

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

Related Items (2)

Extension of van der Corput algorithm to LS-sequences ⋮ Approximating multiple integrals of continuous functions by \(\delta \)-uniform curves

Uses Software

• TOMS659

Cites Work

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• Numerical modeling of Stefan problems
• Algorithm 659
• Quasi-Random Sequences and Their Discrepancies
• Asymptotic Expansions for Integration Formulas in One or More Dimensions

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