Implementing quasi-Monte Carlo simulations with linear transformations
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DOI: 10.1007/s10287-009-0104-9
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- Fabian Bastin & Cinzia Cirillo & Philippe Toint, 2006. "An adaptive Monte Carlo algorithm for computing mixed logit estimators," Computational Management Science, Springer, vol. 3(1), pages 55-79, January.
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- Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 147-163, March.
- Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Multidimensional quasi-Monte Carlo Malliavin Greeks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 199-224, November.
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Keywords
Effective dimensions; Path-generation techniques; Linear transformations; Quasi-Monte Carlo simulations;All these keywords.
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