Quasi-Monte Carlo for finance applications

Quasi-Monte Carlo for finance applications

Taispeáin leaganacha eile (1)

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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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Giles, M, Kuo, F, Sloan, I, Waterhouse, B
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2008

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