High-performance financial simulation using randomized quasi-Monte Carlo methods
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Publication:4619507
DOI10.1080/14697688.2015.1032549zbMath1406.91488arXiv1408.5526OpenAlexW2121969527MaRDI QIDQ4619507
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.5526
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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