Enhancing Quasi-Monte Carlo Methods by Exploiting Additive Approximation for Problems in Finance

DOI10.1137/100814597zbMath1236.91144OpenAlexW2005191659MaRDI QIDQ2882790

Xiaoqun Wang

Publication date: 7 May 2012

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100814597

zbMATH Keywords

importance samplingprincipal component analysisquasi-Monte Carlo methodscontrol variateshigh-dimensional model representationcomputational financeBrownian Bridge

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (1)

Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling

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