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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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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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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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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Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing

Monte-Carlo and Quasi-Monte Carlo Methods 1998 ◽

10.1007/978-3-642-59657-5_19 ◽

2000 ◽

pp. 284-295 ◽

Author(s):

Yongzeng Lai ◽

Jerome Spanier

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

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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Error Bounds for Quasi-Monte Carlo Methods in Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.634161 ◽

2004 ◽

Author(s):

Jennifer X.F. Jiang ◽

John R. Birge

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Error Bounds ◽

Monte Carlo Methods ◽

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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Application of quasi-Monte Carlo methods in multi-asset option pricing

Journal of the Korean Data and Information Science Society ◽

10.7465/jkdi.2013.24.4.669 ◽

2013 ◽

Vol 24 (4) ◽

pp. 669-677 ◽

Author(s):

Eun Bi Mo ◽

Chongsun Park

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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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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