Comparison of Sobol' sequences in financial applications

DOI10.1515/mcma-2019-2029OpenAlexW2892040579WikidataQ128449877 ScholiaQ128449877MaRDI QIDQ2417977

Shin Harase

Publication date: 31 May 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.03122

zbMATH Keywords

quasi-Monte Carlo methodcomputational financeSobol' sequence

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical integration (65D30)

Related Items (2)

Isovolumetric adaptations to space-filling design of experiments ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge

Uses Software

• Algorithm 823
• MersenneTwister
• RandQMC
• TOMS659
• sobol.cc

Cites Work

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