Quasi-Monte Carlo and Monte Carlo methods and their application in finance

zbMath1160.65300MaRDI QIDQ2583624

Gerhard Larcher, Gunther Leobacher

Publication date: 17 January 2006

Published in: Surveys on Mathematics for Industry (Search for Journal in Brave)

zbMATH Keywords

option pricingMonte Carlo methodsquasi-Monte Carlo methodsrisk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (3)

Approximation in Hermite spaces of smooth functions ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Integration in Hermite spaces of analytic functions

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