Conditional quasi-Monte Carlo with constrained active subspaces

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Publication:6623714

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DOI10.1137/23m1548918MaRDI QIDQ6623714

Publication date: 24 October 2024

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

zbMATH Keywords

greeks stochastic volatility derivative pricing conditional density estimation randomized quasi-Monte Carlo pre-integration

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

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