Randomized quasi-Monte Carlo methods in pricing securities
From MaRDI portal
Publication:953725
DOI10.1016/j.jedc.2003.11.003zbMath1202.91341OpenAlexW1966558972MaRDI QIDQ953725
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.003
option pricingeffects of Box-Muller and inverse transformationsurvey of randomized quasi-Monte Carlo methods
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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