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Implementing quasi-Monte Carlo simulations with linear transformations

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  • Piergiacomo Sabino

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  • Piergiacomo Sabino, 2011. "Implementing quasi-Monte Carlo simulations with linear transformations," Computational Management Science, Springer, vol. 8(1), pages 51-74, April.
    • Handle: RePEc:spr:comgts:v:8:y:2011:i:1:p:51-74
    DOI: 10.1007/s10287-009-0104-9
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    References listed on IDEAS

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    1. 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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    Cited by:

    1. 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.
    2. 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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