AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I

DOI10.1142/S0219024903001931zbMath1079.91529OpenAlexW4239021355MaRDI QIDQ5696855

Lars O. Dahl

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903001931

zbMATH Keywords

singular value decompositionquasi-Monte Carlo methodsvariance reduction techniquesadaptive numerical integrationmulti-dimensional option pricing

Mathematics Subject Classification ID

Related Items (1)

QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS

Cites Work

• Error reduction techniques in quasi-Monte Carlo integration.
• On the Lambert \(w\) function
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Latin supercube sampling for very high-dimensional simulations
• Estimating Security Price Derivatives Using Simulation
• An adaptive algorithm for the approximate calculation of multiple integrals
• Computational investigations of low-discrepancy sequences
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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