Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing

DOI10.1515/MCMA.2010.011zbMath1206.65014OpenAlexW2048544541MaRDI QIDQ3068183

Sylvain Maire, Christophe De Luigi

Publication date: 13 January 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2010.011

zbMATH Keywords

basket option pricingadaptive numerical integrationpiecewise polynomial approximations

Mathematics Subject Classification ID

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

Related Items (2)

Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options ⋮ Adaptive stratified Monte Carlo algorithm for numerical computation of integrals

Uses Software

• TESTPACK

Cites Work

• A new algorithm for adaptive multidimensional integration
• An iterative computation of approximations on Korobov-like spaces.
• Pricing of arithmetic basket options by conditioning.
• Quasi-Monte Carlo quadratures for multivariate smooth functions
• High dimensional integration of smooth functions over cubes
• Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
• Quasi-Monte Carlo methods and pseudo-random numbers
• Latin supercube sampling for very high-dimensional simulations
• A new optimal Monte Carlo method for calculating integrals of smooth functions

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