Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction

DOI10.1137/15M1050380zbMath1364.91152MaRDI QIDQ5738153

Chengfeng Weng, Xiaoqun Wang, Zhijian He

Publication date: 31 May 2017

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

zbMATH Keywords

smoothingoption pricingdimension reductionquasi-Monte CarloGreeks\(k\)-means clustering algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (8)

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ On the Error Rate of Conditional Quasi--Monte Carlo for Discontinuous Functions ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks

Uses Software

• AS 136

Cites Work

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