Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing
Monte Carlo and quasi-Monte Carlo methods are widely used in scientific studies. As quasi-Monte Carlo simulations have advantage over ordinary Monte Carlo methods, this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its Karhunen–Loéve expansion. The proposed new approac...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2017-01-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2017.1332965 |