Efficient Weighted Lattice Rules with Applications to Finance

DOI10.1137/S1064827502418197zbMath1136.65305OpenAlexW2053270912MaRDI QIDQ5470443

Xiaoqun Wang, Ian H. Sloan

Publication date: 30 May 2006

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827502418197

zbMATH Keywords

option pricingquasi-Monte Carlo methodslattice rulesmultivariate integration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)

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