An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures

DOI10.1016/j.ejor.2016.03.034zbMath1348.91288OpenAlexW2309752015MaRDI QIDQ323335

Xiaoqun Wang, Chengfeng Weng, Zhijian He

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.034

zbMATH Keywords

QR decompositionpricingauto-realignment methodOT methodQMC

Mathematics Subject Classification ID

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

Related Items (3)

A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo

Uses Software

• AS 136

Cites Work

• Algorithm AS 136: A K-Means Clustering Algorithm
• A general control variate method for option pricing under Lévy processes
• The effective dimension and quasi-Monte Carlo integration
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
• Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
• Quasi-Monte Carlo Methods in Numerical Finance
• Modeling uncertainty. An examination of stochastic theory, methods, and applications
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