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...

Полное описание

Библиографические подробности
Главные авторы:	Giles, M, Kuo, F, Sloan, I, Waterhouse, B
Формат:	Journal article
Язык:	English
Опубликовано:	2008

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