Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
type: Item
instance of: scholarly article
title: Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
zbMATH Open document ID: 1422.91776
author: Ye Xiao
author: Xiaoqun Wang
published in: Journal of Computational and Applied Mathematics
publication date: 2018-06-20T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6892270
zbMATH Keywords: option pricing
zbMATH Keywords: Greeks
zbMATH Keywords: quasi-Monte Carlo
zbMATH Keywords: smoothing
zbMATH Keywords: dimension reduction
MaRDI profile type: Publication
full work available at URL: j.cam.2018.05.004
OpenAlex ID: W2807383024
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Wikidata QID: Q129869070
DOI: 10.1016/J.CAM.2018.05.004
description: scientific article; zbMATH DE number 6892270