Monte Carlo Simulation of Stochastic Integrals when the Cost of Function Evaluation Is Dimension Dependent

DOI10.1007/978-3-642-04107-5_35zbMath1182.91205OpenAlexW2203324204MaRDI QIDQ3405465

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_35

Mathematics Subject Classification ID

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

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