A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance

DOI10.1007/978-3-642-27440-4_34zbMath1270.91103OpenAlexW2233328846MaRDI QIDQ5326133

Dirk Nuyens, Benjamin J. Waterhouse

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_34

zbMATH Keywords

performanceoption pricingquasi-Monte Carlo methodlow effective dimensionpoint set re-ordering

Mathematics Subject Classification ID

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

Related Items (5)

Conditional Sampling for Barrier Option Pricing Under the Heston Model ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ An iterative algorithm to determine the number of time steps in path generation methods

Uses Software

• CUBPACK
• MinT

Cites Work

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• Algorithm 824
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• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?

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