An iterative algorithm to determine the number of time steps in path generation methods-Reference-Cited by-同舟云学术

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An iterative algorithm to determine the number of time steps in path generation methods

Published:2016-01-29 Issue:9 Volume:39 Page:2182-2192
ISSN:0170-4214
Container-title:Mathematical Methods in the Applied Sciences
language:en
Short-container-title:Math. Meth. Appl. Sci.

Author:

Fan Chenxi¹,Wu Qingbiao¹

Affiliation:

1. Department of Mathematics; Zhejiang University; Hangzhou Zhejiang 310027 China

Funder

National Natural Science Foundation of China

Zhejiang Natural Science Foundation

Foundation of Science and Technology Department

Zhejiang Province

Scientific Research Fund of Zhejiang Provincial Education Department

Publisher

Wiley

Subject

General Engineering,General Mathematics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/mma.3632/fullpdf

Reference21 articles.

1. Random Number Generation and Quasi-Monte Carlo Methods

2. Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment;Imai;SIAM Journal on Scientific Computing,2014

3. Pricing and hedging with discontinuous functions: quasi-Monte Carlo methods and dimension reduction;Wang;Management Science,2013

4. Smoothness and dimension reduction in quasi-Monte Carlo methods;Moskowitz;Mathematical and Computer Modelling,1996

5. How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?;Wang;Journal of Complexity,2012

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