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Quasi-Monte Carlo for finance applications

Abstract:

Monte Carlo methods are used extensively in computational finance to estimate the price of financial derivative options. We review the use of quasi-Monte Carlo methods to obtain the same accuracy at a much lower computational cost, and focus on three key ingredients: the generation of Sobol' and lattice points, reduction of effective dimension using the principal component analysis approach at full potential, and randomization by shifting or digital shifting to give an unbiased estimator with...

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Journal:
ANZIAM Journal
Volume:
50
Issue:
SUPPL.
Publication date:
2008-01-01
EISSN:
1446-8735
ISSN:
1446-1811
Source identifiers:
191346
Language:
English
Pubs id:
pubs:191346
UUID:
uuid:6749b9cf-64c7-4b83-84d4-38b9ba92db25
Local pid:
pubs:191346
Deposit date:
2014-05-13

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