Monte Carlo integration, quadratic resampling, and asset pricing

DOI10.1016/0378-4754(93)E0080-OzbMath0831.65022MaRDI QIDQ1897672

Jérôme Barraquand

Publication date: 18 February 1996

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

low-discrepancy point setsquasi-Monte Carlo methodsmultidimensional numerical integrationmultivariate Walsh series

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32)

Cites Work

• Unnamed Item
• Multi-stage stochastic linear programs for portfolio optimization
• Numerical Valuation of High Dimensional Multivariate European Securities

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