Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options-Reference-Cited by-同舟云学术

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Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options

Published:2009-03-04 Issue:1 Volume:32 Page:49-65
ISSN:1593-8883
Container-title:Decisions in Economics and Finance
language:en
Short-container-title:Decisions Econ Finan

Author:

Sabino Piergiacomo

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Link

http://link.springer.com/content/pdf/10.1007/s10203-009-0084-9.pdf

Reference15 articles.

1. Acworth, P., Broadie, M., Glasserman, P.: A comparison of some Monte Carlo and Quasi-Monte Carlo methods for option pricing. In: Proceedings of the 1996 Conference on Monte Carlo and Quasi-Monte Carlo Methods. Springer, New York (1998)

2. Bratley P., Fox B., Niederreiter H.: Implementation and tests of low-discrepancy sequences. ACM Trans. Model. Comput. Simul. 2(3), 195–213 (1992)

3. Brigo, D. Mercurio, F., Rapisarda, F.: Connecting univariate smiles and basket dynamics: a new multidimensional dynamics for basket options. http://www.ima.umn.edu/talks/workshops/4-12-16.2004/rapisarda/MultivariateSmile.pdf (2004)

4. Caflisch R., Morokoff W., Owen A.: Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension. J. Comput. Finance 1(1), 27–46 (1997)

5. Imai, J., Tan, K.S.: Enhanced quasi-Monte Carlo method with dimension reduction. In: Proceedings of the 2002 Winter Simulation Conference, pp. 1502–1510 (2002)

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1. An Analysis of Path-Dependent Options;Journal of Optimization Theory and Applications;2013-09-05

2. Multidimensional quasi-Monte Carlo Malliavin Greeks;Decisions in Economics and Finance;2011-12-06

3. CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION;International Journal of Theoretical and Applied Finance;2011-09

4. Implementing quasi-Monte Carlo simulations with linear transformations;Computational Management Science;2009-09-19

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