Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions

DOI10.1016/j.cam.2018.05.004zbMath1422.91776OpenAlexW2807383024WikidataQ129869070 ScholiaQ129869070MaRDI QIDQ1643844

Ye Xiao, Xiaoqun Wang

Publication date: 20 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.004

zbMATH Keywords

smoothingoption pricingdimension reductionquasi-Monte CarloGreeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Preintegration via Active Subspace ⋮ Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

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