On the use of quasi-monte carlo methods in computational finance

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 2073, Issue , 2001, Pages 607-616

  Lemieux, Christiane ^a   L’ecuyer, Pierre ^b  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

COMPUTATIONAL FINANCE; PATH DEPENDENT OPTIONS; QUASI MONTE CARLO METHODS; STOCHASTIC VOLATILITY MODEL;

MONTE CARLO METHODS;

EID: 23044525608     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/3-540-45545-0_70     Document Type: Conference Paper

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