Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

DOI10.1137/19M1280065zbMath1461.65005OpenAlexW3120073684MaRDI QIDQ5856682

Chaojun Zhang, Zhijian He, Xiaoqun Wang

Publication date: 29 March 2021

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

Full work available at URL: https://doi.org/10.1137/19m1280065

zbMATH Keywords

importance samplingdimension reductionquasi-Monte Carlo methodLaplace approximation

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 (1)

On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo

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