On the use of dimension reduction techniques in quasi-Monte Carlo methods

Mathematical and Computer Modelling ◽

10.1016/j.mcm.2007.05.020 ◽

2008 ◽

Vol 48 (11-12) ◽

pp. 1925-1937

Author(s):

Y.Z. Zhao

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Reduction Techniques ◽

Dimension Reduction Techniques

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Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing

INFORMS Journal on Computing ◽

10.1287/ijoc.1080.0304 ◽

2009 ◽

Vol 21 (3) ◽

pp. 488-504 ◽

Author(s):

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Reduction Techniques ◽

Dimension Reduction Techniques

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Enhanced quasi-Monte Carlo methods with dimension reduction

Proceedings of the Winter Simulation Conference ◽

10.1109/wsc.2002.1166425 ◽

2003 ◽

Author(s):

J. Imai ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

Operations Research ◽

10.1287/opre.1100.0853 ◽

2011 ◽

Vol 59 (1) ◽

pp. 80-95 ◽

Author(s):

Xiaoqun Wang ◽

Ian H. Sloan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Equivalence Principle ◽

Financial Engineering ◽

Quasi Monte Carlo

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Smoothness and dimension reduction in Quasi-Monte Carlo methods

Mathematical and Computer Modelling ◽

10.1016/0895-7177(96)00038-6 ◽

1996 ◽

Vol 23 (8-9) ◽

pp. 37-54 ◽

Author(s):

B. Moskowitz ◽

R.E. Caflisch

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.05.004 ◽

2018 ◽

Vol 343 ◽

pp. 289-308 ◽

Author(s):

Ye Xiao ◽

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Discontinuous Functions ◽

Quasi Monte Carlo

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A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques

Journal of Mathematical Finance ◽

10.4236/jmf.2012.22021 ◽

2012 ◽

Vol 02 (02) ◽

pp. 195-198 ◽

Author(s):

Farshid Mehrdoust ◽

Kianoush Fathi Vajargah

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Computational Approach ◽

Quasi Monte Carlo ◽

Variance Reduction Techniques ◽

Reduction Techniques ◽

Financial Option Pricing

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Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment

SIAM Journal on Scientific Computing ◽

10.1137/130926286 ◽

2014 ◽

Vol 36 (5) ◽

pp. A2101-A2121 ◽

Author(s):

Junichi Imai ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Derivative Securities ◽

Quasi Monte Carlo ◽

Pricing Derivative Securities

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Variance reduction techniques and quasi-Monte Carlo methods

Journal of Computational and Applied Mathematics ◽

10.1016/s0377-0427(00)00331-9 ◽

2001 ◽

Vol 132 (2) ◽

pp. 309-318 ◽

Author(s):

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Quasi Monte Carlo ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction

Management Science ◽

10.1287/mnsc.1120.1568 ◽

2013 ◽

Vol 59 (2) ◽

pp. 376-389 ◽

Author(s):

Xiaoqun Wang ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Discontinuous Functions ◽

Quasi Monte Carlo

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Correction to “Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond”

ANZIAM Journal ◽

10.21914/anziamj.v54i0.6962 ◽

2013 ◽

Vol 54 ◽

pp. 216 ◽

Author(s):

F. Y. Kuo ◽

Ch. Schwab ◽

I. H. Sloan

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

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