Fast Evaluation of the Asian Basket Option by Singular Value Decomposition-Reference-Cited by-同舟云学术

Fast Evaluation of the Asian Basket Option by Singular Value Decomposition

Published:2002 Issue: Volume: Page:201-214
ISSN:
Container-title:Monte Carlo and Quasi-Monte Carlo Methods 2000
language:
Short-container-title:

Author:

Dahl Lars O.,Benth Fred E.

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-642-56046-0_13

Reference11 articles.

1. L. O. Dahl and F. E. Benth. Valuation of Asian basket options with quasi-Monte Carlo techniques and singular value decomposition. In preprint at http://www.math.uio.no/eprint/pure_math/2001/pure_2001.html , February 2001.

2. I. Karatzas and S. E. Shreve. Methods of Mathematical Finance. Springer Verlag, 1998.

3. L. Kocis and W. J. Whiten. Computational investigations of low-discrepancy sequences. ACM Transactions on Mathematical Software, 23(2):266–294, June 1997.

4. J. D. Lambert. Numerical Methods for Ordinary Differential Equations. Whiley, 1993.

5. P. Lancaster. Theory of Matrices. Academic Press, New York, 1969.

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