Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment

DOI10.1137/130926286zbMath1307.65003OpenAlexW2082845472MaRDI QIDQ2940001

Junichi Imai, Ken Seng Tan

Publication date: 23 January 2015

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

Full work available at URL: https://doi.org/10.1137/130926286

zbMATH Keywords

linear transformationnumerical examplesdimension reductionLévy processquasi-Monte Carlo methodorthogonal transformationdigital optionsfiance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Brownian Path Generation and Polynomial Chaos ⋮ An iterative algorithm to determine the number of time steps in path generation methods

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