An adaptive Monte Carlo integration algorithm with general division approach
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DOI: 10.1016/j.matcom.2007.09.009
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References listed on IDEAS
- Lars O. Dahl, 2003. "An Adaptive Method For Evaluating Multidimensional Contingent Claims: Part I," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 301-316.
- Lars O. Dahl, 2003. "An Adaptive Method For Evaluating Multidimensional Contingent Claims: Part Ii," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 327-353.
- Karaivanova, Aneta & Dimov, Ivan, 1998. "Error analysis of an adaptive Monte Carlo method for numerical integration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 201-213.
- Usabel, Miguel A., 1998. "Applications to risk theory of a Monte Carlo multiple integration method," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 71-83, October.
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Keywords
Monte Carlo integration; Stratified sampling; Adaptive Monte Carlo algorithms;All these keywords.
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