Quasi-monte carlo simulation of discrete-time markov chains on multidimensional state spaces

Monte Carlo and Quasi-Monte Carlo Methods 2006

Volumn , Issue , 2008, Pages 413-429

  El Haddad, Rami ^a   Ĺecot, Christian ^b   L'Ecuyer, Pierre ^c  

^a SAINT JOSEPH UNIVERSITY   (Lebanon)

^b UNIVERSITÉ DE SAVOIE   (France)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

INTELLIGENT SYSTEMS; MARKOV PROCESSES; NUMERICAL METHODS;

CONVERGENCE RESULTS; DISCRETE STATE SPACE; DISCRETE TIME MARKOV CHAINS; MULTI-DIMENSIONAL STATE; NUMERICAL EXPERIMENTS; QUASI MONTE CARLO METHODS; QUASI-MONTE CARLO SIMULATION;

MONTE CARLO METHODS;

EID: 78649793327     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-540-74496-2_24     Document Type: Conference Paper

References (13)

1. [BEG89] P. P. Boyle, J. Evnine, and S. Gibbs. Numerical evaluation of multivariate contingent claims. The Review of Financial Studies, 2, 241-250 (1989)
2. [CRR79] J.C. Cox, S.A. Ross, and M. Rubinstein. Option pricing : a simplified approach. Journal of Financial Economics, 7, 229-263 (1979)
3. [ElH] R. El Haddad. Méthodes quasi-Monte Carlo pour la simulation des chaines de Markov. PhD thesis (in French), Université de Savoie, in preparation.
4. [HKY03] A. Hayfavi, H. Körezlio?glu, and K. Yildirak. Bivariate extension of Cox-Ross-Rubinstein model: model identification. 16th Annual Conference of Greek Statistical Institute. Kavala, Greece, 30 April -3 May (2003)
5. [Joh87] H. Johnson. Options on the maximum or the minimum of several assets. Journal of Financial and Quantitative Analysis, 22, 277-283 (1987)
6. [Lec96] C. Lécot. Error bounds for quasi-Monte Carlo integration with nets. Mathematics of Computation, 65, 179-187 (1996)
7. [LC98] C. Lécot and I. Coulibaly. A quasi-Monte Carlo scheme using nets for a linear Boltzmann equation. SIAM Journal on Numerical Analysis, 35, 51-70 (1998)
8. [LT04] C. Lécot and B. Tuffin. Quasi-Monte Carlo methods for estimating transient measures of discrete time Markov chains. In: Niederreiter, H. (ed.) Monte Carlo and Quasi Monte Carlo Methods 2002. Springer-Verlag, Berlin, 329-343 (2004)
9. [L'Ec99] P. L'Ecuyer. Good parameters and implementations for combined multiple recursive random number generators. Operations Research, 47, 159-164 (1999)
10. [Nie87] H. Niederreiter. Point sets and sequences with small discrepancy. Monatshefte für Mathematik, 104, 273-337 (1987)
11. [Nie92] H. Niederreiter. Random Number Generation and Quasi-Monte Carlo Methods. SIAM, Philadelphia, (1992)
12. [Stu82] R. M. Stulz. Options on the minimum or the maximum of two risky assets: analysis and applications. Journal of Financial Economics, 10, 161-185, (1982)
13. [Zar68] S.K. Zaremba. Some applications of multidimensional integration by parts. Ann. Polon. Math, 21, 85-96 (1968)