Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
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DOI: 10.1287/opre.2015.1470
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References listed on IDEAS
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Cited by:
- Ye Xiao & Xiaoqun Wang, 2019. "Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 343-366, June.
- Borgonovo, Emanuele & Rabitti, Giovanni, 2023. "Screening: From tornado diagrams to effective dimensions," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1200-1211.
- Lihui Xiong & Ximiao Dong & Jiaqi Fang, 2023. "Interdisciplinary Teaching Reform of Financial Engineering Majors Based on the Analytic Hierarchy Process in the Post-Pandemic Era," Sustainability, MDPI, vol. 15(11), pages 1-17, May.
- Harase Shin, 2019. "Comparison of Sobol’ sequences in financial applications," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 61-74, March.
- Zhijian He & Xiaoqun Wang, 2021. "An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 693-718, February.
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More about this item
Keywords
finance; financial engineering; option pricing; Greeks; Simulation; quasi-Monte Carlo methods; path simulation method; discontinuity; effective dimension;All these keywords.
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