Efficiency improvement by lattice rules for pricing asian options

Winter Simulation Conference Proceedings

Volumn 1, Issue , 1998, Pages 579-585

  Lemieux, Christiane ^a   L'Ecuyer, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

INTEGRATION; MONTE CARLO METHODS;

LATTICE RULES; LOW-DISCREPANCY POINT SETS; VARIANCE REDUCTION TECHNIQUE;

APPROXIMATION THEORY;

EID: 0032254831     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (21)