Efficient weighted lattice rules with applications to finance

SIAM Journal on Scientific Computing

Volumn 28, Issue 2, 2006, Pages 728-750

  Wang, Xiaoqun ^a,b   Sloan, Ian H ^b  

^a TSINGHUA UNIVERSITY   (China)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Lattice rules; Multivariate integration; Option pricing; Quasi Monte Carlo methods

Indexed keywords

ALGORITHMS; COST ACCOUNTING; ERROR ANALYSIS; MONTE CARLO METHODS; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING;

LATTICE RULES; MULTIVARIATE INTEGRATION; OPTION PRICING; QUASI-MONTE CARLO METHODS;

LOGIC PROGRAMMING;

EID: 33947249114     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1064827502418197     Document Type: Article

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