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

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

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Veröffentlicht in:SIAM journal on scientific computing 2014-01, Vol.36 (5), p.A2101-A2121
Hauptverfasser: Imai, Junichi, Tan, Ken Seng
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container_title SIAM journal on scientific computing
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creator Imai, Junichi
Tan, Ken Seng
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title Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
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