Good point methods for computing prices and sensitivities of multi-asset European style options

DOI10.1080/135048698334664zbMath1009.91024OpenAlexW1972499399MaRDI QIDQ4541556

Raymond Ross

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048698334664

zbMATH Keywords

low-discrepancy sequencesEuropean optionsweighted-sum estimators

Mathematics Subject Classification ID

Cites Work

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• Low-discrepancy sequences and global function fields with many rational places
• On a number-theoretical integration method
• Quasi-Random Sequences and Their Discrepancies
• On the distribution of points in a cube and the approximate evaluation of integrals

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