Enhanced quasi-Monte Carlo methods with dimension reduction

Winter Simulation Conference Proceedings

Volumn 2, Issue , 2002, Pages 1502-1510

  Imai, Junichi ^a   Tan, Ken Seng ^b  

^a IWATE PREFECTURAL UNIVERSITY   (Japan)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ERRORS; FINANCE; MONTE CARLO METHODS; RANDOM PROCESSES;

QUASI-MONTE CARLO (QMC) METHODS;

INDUSTRIAL ECONOMICS;

EID: 0036923590     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

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2. Boyle, P. 1977. Options: A Monte Carlo Approach. Journal of Financial Economics, 4:323-338.
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8. Owen, A. 1998. Latin supercube sampling for very high-dimensional simulations. ACM Transactions on Modeling and Computer Simulation 8 (1):71-102.
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