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...
| Glavni autori: | , , , |
|---|---|
| Format: | Journal article |
| Jezik: | English |
| Izdano: |
2008
|