Quasi-Monte Carlo for finance applications

Quasi-Monte Carlo for finance applications

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Monte Carlo methods are used extensively in computational finance to estimate the price of financial derivative options. We review the use of quasi-Monte Carlo methods to obtain the same accuracy at a much lower computational cost, and focus on three key ingredients: the generation of Sobol' an...

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Bibliografiske detaljer
Main Authors:	Giles, M, Kuo, F, Sloan, I, Waterhouse, B
Format:	Journal article
Sprog:	English
Udgivet:	2008

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