Comparison of randomization techniques for low-discrepancy sequences in finance

DOI10.1007/s10690-006-9025-6zbMath1161.91406OpenAlexW2022499208MaRDI QIDQ867694

Tsutomu Tamura

Publication date: 16 February 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9025-6

zbMATH Keywords

Error estimationDerivative pricingLow-discrepancy sequencePath dependent optionQuasi-Monte Carlo simulationRandomization

Mathematics Subject Classification ID

Related Items (1)

Pricing Bermudan options using low-discrepancy mesh methods

Cites Work

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• Randomized Halton sequences
• Monte Carlo Variance of Scrambled Net Quadrature
• Toward real-time pricing of complex financial derivatives
• THE EFFECT OF RANDOMIZED LOW DISCREPANCY SEQUENCES IN OPTION PRICING(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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