Parameterization based on randomized quasi-Monte Carlo methods

DOI10.1016/j.parco.2010.03.003zbMath1194.91193OpenAlexW2138643898MaRDI QIDQ991136

Giray Ökten, Matthew Willyard

Publication date: 2 September 2010

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.parco.2010.03.003

zbMATH Keywords

option pricingparameterizationrandomized quasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Parallel algorithms in computer science (68W10) Derivative securities (option pricing, hedging, etc.) (91G20) Randomized algorithms (68W20)

Related Items (1)

High-performance financial simulation using randomized quasi-Monte Carlo methods

Uses Software

• SPRNG

Cites Work

• Randomization of lattice rules for numerical multiple integration
• Randomized quasi-Monte Carlo methods in pricing securities
• Quasi-Monte Carlo, low discrepancy sequences, and ergodic transformations
• Good permutations for extreme discrepancy
• On the \(L_2\)-discrepancy for anchored boxes
• Scrambled net variance for integrals of smooth functions
• Randomized Halton sequences
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• A combinatorial central limit theorem for randomized orthogonal array sampling designs
• Random sampling from low-discrepancy sequences: applications to option pricing
• Fast generation of low-discrepancy sequences
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• On the use of low discrepancy sequences in Monte Carlo methods
• Randomization of Number Theoretic Methods for Multiple Integration
• The asymptotic efficiency of randomized nets for quadrature
• The mean square discrepancy of randomized nets
• Monte Carlo Variance of Scrambled Net Quadrature
• Toward real-time pricing of complex financial derivatives
• Implementation and tests of low-discrepancy sequences
• Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
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