Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing

DOI10.1287/ijoc.1080.0304zbMath1243.91105OpenAlexW2147326957MaRDI QIDQ2901081

Xiaoqun Wang

Publication date: 28 July 2012

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.1080.0304

zbMATH Keywords

simulationoption pricingdimension reductionquasi-Monte Carlo methods

Mathematics Subject Classification ID

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

Related Items (5)

Quasi-Monte Carlo simulation for American option sensitivities ⋮ Pricing and hedging Asian basket options with quasi-Monte Carlo simulations ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ New Brownian bridge construction in quasi-Monte Carlo methods for computational finance ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators

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