Dimension reduction techniques in quasi-Monte Carlo methods for option pricing

INFORMS Journal on Computing

Volumn 21, Issue 3, 2009, Pages 488-504

  Wang, Xiaoqun ^a  

^a TSINGHUA UNIVERSITY   (China)

Author keywords

Dimension reduction; Option pricing; Quasi Monte Carlo methods; Simulation

Indexed keywords

EID: 68749099526     PISSN: 10919856     EISSN: 15265528     Source Type: Journal    
DOI: 10.1287/ijoc.1080.0304     Document Type: Article

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