Array-RQMC for Option Pricing Under Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Array-RQMC for Option Pricing Under Stochastic Volatility Models

Published:2019-12 Issue: Volume: Page:
ISSN:
Container-title:2019 Winter Simulation Conference (WSC)
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Author:

Abdellah Amal Ben,L'Ecuyer Pierre,Puchhammer Florian

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/8977453/9004651/09004819.pdf?arnumber=9004819

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dimension reduction for Quasi-Monte Carlo methods via quadratic regression;Mathematics and Computers in Simulation;2025-01

2. Simple Stratified Sampling for Simulating Multi-dimensional Markov Chains;Springer Proceedings in Mathematics & Statistics;2024

3. Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling;Advances in Modeling and Simulation;2022

4. Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks;Bulletin of Mathematical Biology;2021-07-08

5. Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance;SIAM Journal on Scientific Computing;2021-01

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