Applications of randomized low discrepancy sequences to the valuation of complex securities
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Publication:1583155
DOI10.1016/S0165-1889(99)00087-1zbMath0967.91059OpenAlexW2149736324WikidataQ126773722 ScholiaQ126773722MaRDI QIDQ1583155
Publication date: 26 October 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00087-1
deterministic sequenceslow discrepancy sequencesstandard errorOwen's techniquequasi-random Monte Carlo
Random number generation in numerical analysis (65C10) Statistical methods; economic indices and measures (91B82)
Related Items (11)
Subsampling bias and the best-discrepancy systematic cross validation ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Computational investigations of scrambled Faure sequences ⋮ On a Full Monte Carlo Approach to Computational Finance ⋮ Pricing Options Using Lattice Rules ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach
Uses Software
Cites Work
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