How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?

DOI10.1016/j.jco.2011.10.011zbMath1236.91145OpenAlexW2000687805MaRDI QIDQ413476

Xiaoqun Wang, Ken Seng Tan

Publication date: 7 May 2012

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2011.10.011

zbMATH Keywords

principal component analysisasset pricingBrownian bridgequasi-Monte Carlo methodsANOVA decompositioneffective dimension

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

The hexanomial lattice for pricing multi-asset options ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ An iterative algorithm to determine the number of time steps in path generation methods ⋮ Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality ⋮ A computational investigation of the optimal Halton sequence in QMC applications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Sufficient conditions for fast quasi-Monte Carlo convergence
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• The effective dimension and quasi-Monte Carlo integration
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• Derivative based global sensitivity measures and their link with global sensitivity indices
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
• On the necessity of low-effective dimension
• Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
• Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
• On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
• An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
• On decompositions of multivariate functions
• Generating Quasi-Random Paths for Stochastic Processes
• Quasi-Random Sequences and Their Discrepancies
• Quasi-Monte Carlo Methods in Numerical Finance
• Toward real-time pricing of complex financial derivatives
• Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• Estimating Mean Dimensionality of Analysis of Variance Decompositions

This page was built for publication: How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?