Weighted compound integration rules with higher order convergence for all N
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11075-011-9482-5.pdf
Reference30 articles.
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3. Boyle, P.P., Lai, T., Tan, K.S.: Pricing options using lattice rules. N. Amer. Actuarial J. 9(3), 50–76 (2005)
4. Cools, R., Kuo, F.Y., Nuyens, D.: Constructing embedded lattice rules for multivariate integration. SIAM J. Sci. Comput. 28(6), 2162–2188 (2006)
5. Dick, J.: On the convergence rate of the component-by-component construction of good lattice rules. J. Complex. 20(4), 493–522 (2004)
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