AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II
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Publication:5696857
DOI10.1142/S0219024903001943zbMath1080.91518MaRDI QIDQ5696857
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
singular value decompositionquasi-Monte Carlo methodsvariance reduction techniquesadaptive numerical integrationmulti-dimensional option pricing
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QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS ⋮ An adaptive Monte Carlo integration algorithm with general division approach
Cites Work
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- Point sets and sequences with small discrepancy
- Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
- Quasi-Monte Carlo methods and pseudo-random numbers
- Latin supercube sampling for very high-dimensional simulations
- An adaptive algorithm for the approximate calculation of multiple integrals
- The value of an Asian option
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