Implementing quasi-Monte Carlo simulations with linear transformations-Reference-Cited by-同舟云学术

Implementing quasi-Monte Carlo simulations with linear transformations

Published:2009-09-19 Issue:1-2 Volume:8 Page:51-74
ISSN:1619-697X
Container-title:Computational Management Science
language:en
Short-container-title:Comput Manag Sci

Author:

Sabino Piergiacomo

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Link

http://link.springer.com/content/pdf/10.1007/s10287-009-0104-9.pdf

Reference26 articles.

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5. Dahl LO, Benth FE (2001) Valuation of Asian basket options with quasi-Monte Carlo techniques and singular value decomposition. Pure Math. No. 5, Preprints, 1–21 February. Available at http://www.math.uio.no/eprint/pure_math/2001/08-01.ps

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