Implementing quasi-Monte Carlo simulations with linear transformations

DOI10.1007/s10287-009-0104-9zbMath1231.91480arXiv0710.5872OpenAlexW3123619347MaRDI QIDQ545523

Piergiacomo Sabino

Publication date: 22 June 2011

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.5872

zbMATH Keywords

linear transformationseffective dimensionspath-generation techniquesquasi-Monte Carlo simulations

Mathematics Subject Classification ID

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

Related Items (4)

Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Pricing and hedging Asian basket options with quasi-Monte Carlo simulations ⋮ Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options ⋮ CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

Uses Software

• AMLET

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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