Parameterization based on randomized quasi-Monte Carlo methods
type: Item
instance of: scholarly article
title: Parameterization based on randomized quasi-Monte Carlo methods
zbMATH Open document ID: 1194.91193
author: Giray Ökten
author: Matthew Willyard
published in: Parallel Computing
publication date: 2010-09-02T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 68W20
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 68W10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5777740
zbMATH Keywords: parameterization
zbMATH Keywords: randomized quasi-Monte Carlo
zbMATH Keywords: option pricing
describes a project that uses: SPRNG
MaRDI profile type: Publication
full work available at URL: j.parco.2010.03.003
OpenAlex ID: W2138643898
cites work: Implementation and tests of low-discrepancy sequences
cites work: Randomization of Number Theoretic Methods for Multiple Integration
cites work: Good permutations for extreme discrepancy
cites work: The mean square discrepancy of randomized nets
cites work: The asymptotic efficiency of randomized nets for quadrature
cites work: Randomization of lattice rules for numerical multiple integration
cites work: Quasi-Monte Carlo, low discrepancy sequences, and ergodic transformations
cites work: Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
cites work: A combinatorial central limit theorem for randomized orthogonal array sampling designs
cites work: On the \(L_2\)-discrepancy for anchored boxes
cites work: Q4548771
cites work: Estimating the error of quasi-Monte Carlo integrations---experimental studies in financial problems
cites work: Q4003879
cites work: Toward real-time pricing of complex financial derivatives
cites work: Q4856469
cites work: Monte Carlo Variance of Scrambled Net Quadrature
cites work: Scrambled net variance for integrals of smooth functions
cites work: Random sampling from low-discrepancy sequences: applications to option pricing
cites work: Randomized quasi-Monte Carlo methods in pricing securities
cites work: Q4549518
cites work: The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
cites work: Q4249163
cites work: Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
cites work: Fast generation of low-discrepancy sequences
cites work: On the use of low discrepancy sequences in Monte Carlo methods
cites work: Randomized Halton sequences
DOI: 10.1016/J.PARCO.2010.03.003
description: scientific article; zbMATH DE number 5777740