Efficient simulation for expectations over the union of half-spaces

DOI10.1145/3167969zbMATH Open1542.65006MaRDI QIDQ6583734

Kyoung-Kuk Kim, Dohyun Ahn

Publication date: 6 August 2024

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

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