Quasi-Monte Carlo for finance applications
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...
| Auteurs principaux: | , , , |
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| Format: | Journal article |
| Langue: | English |
| Publié: |
2008
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