Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing

2017 ◽  
Vol 54 (1) ◽  
pp. 343-366 ◽  
Author(s):  
Ye Xiao ◽  
Xiaoqun Wang
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Derivative Pricing ◽  
Effective Dimension ◽  
Quasi Monte Carlo

scholarly journals Quasi-Monte Carlo Simulation of Diffusion

1999 ◽  
Vol 15 (3) ◽  
pp. 342-359 ◽  
Author(s):  
Christian Lécot ◽  
Faysal El Khettabi
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Quasi Monte Carlo

scholarly journals A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains

2008 ◽  
Vol 56 (4) ◽  
pp. 958-975 ◽  
Author(s):  
Pierre L'Ecuyer ◽  
Christian Lécot ◽  
Bruno Tuffin
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Markov Chains ◽  
Simulation Method ◽  
Monte Carlo Simulation Method ◽  
Quasi Monte Carlo
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