Random sampling from low-discrepancy sequences: applications to option pricing

DOI10.1016/S0895-7177(02)00081-XzbMath1073.91037MaRDI QIDQ1876780

Giray Ökten

Publication date: 20 August 2004

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodsLow-discrepancy sequencesOption pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Randomized quasi-Monte Carlo methods in pricing securities ⋮ Parameterization based on randomized quasi-Monte Carlo methods

Uses Software

• bootstrap

Cites Work

• Good permutations for extreme discrepancy
• Randomized Halton sequences
• Error reduction techniques in quasi-Monte Carlo integration.
• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
• On the use of low discrepancy sequences in Monte Carlo methods
• Randomization of Number Theoretic Methods for Multiple Integration
• Latin supercube sampling for very high-dimensional simulations
• Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests
• Quasi-Monte Carlo Methods in Numerical Finance
• Twisted GFSR generators II
• Implementation and tests of low-discrepancy sequences
• High dimensional simulation
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