Intermediate rank lattice rules and applications to finance-Reference-Cited by-同舟云学术

Intermediate rank lattice rules and applications to finance

Published:2009-01 Issue:1 Volume:59 Page:1-20
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

Lai Yongzeng

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference29 articles.

1. A comparison of some Monte Carlo and quasi-Monte Carlo methods for option pricing;Acworth,1998

2. Pricing options using lattice rules;Boyle;North American Actuarial Journal,2005

3. The analytics of reset options;Cheng;Journal of Derivatives,2000

4. Error bounds for rank 1 lattice quadrature rules modulo composites;Disney;Monatschefte für Mathematik,1990

5. P.C. Dufresne, W. Keirstead, M.P. Ross, Pricing derivatives the martingale way, Working paper, Research Program in Finance Working Papers with number RPF-279, University of California at Berkeley, 1996

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