Quasi-Monte Carlo for finance beyond Black--Scholes

DOI10.21914/anziamj.v50i0.1407zbMath1360.91149OpenAlexW1919888214MaRDI QIDQ2976081

Jan Baldeaux

Publication date: 12 April 2017

Published in: ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21914/anziamj.v50i0.1407

Mathematics Subject Classification ID

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