Quasi-Monte Carlo: A high-dimensional experiment
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DOI: 10.1515/mcma-2013-0022
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- Liu, Ruixue & Owen, Art B., 2006. "Estimating Mean Dimensionality of Analysis of Variance Decompositions," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 712-721, June.
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- Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
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Cited by:
- Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri, 2015. "Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis," Papers 1504.02896, arXiv.org.
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