New Brownian bridge construction in quasi-Monte Carlo methods for computational finance

Journal of Complexity

Volumn 24, Issue 2, 2008, Pages 109-133

  Lin, Junyi ^a   Wang, Xiaoqun ^a  

^a TSINGHUA UNIVERSITY   (China)

Author keywords

Brownian bridge; Effective dimension; Option pricing; Quasi Monte Carlo methods

Indexed keywords

COMPUTATIONAL COMPLEXITY; COMPUTATIONAL GEOMETRY; LINEAR ALGEBRA; PROBLEM SOLVING;

BROWNIAN BRIDGE; EFFECTIVE DIMENSION; OPTION PRICING; QUASI MONTE CARLO METHODS;

MONTE CARLO METHODS;

EID: 40749108951     PISSN: 0885064X     EISSN: 10902708     Source Type: Journal    
DOI: 10.1016/j.jco.2007.06.001     Document Type: Article

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