How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?

Journal of Complexity

Volumn 28, Issue 2, 2012, Pages 250-277

  Wang, Xiaoqun ^a   Tan, Ken Seng ^b  

^a TSINGHUA UNIVERSITY   (China)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

ANOVA decomposition; Asset pricing; Brownian bridge; Effective dimension; Principal component analysis; Quasi Monte Carlo methods

Indexed keywords

BROWNIAN MOVEMENT; COSTS; ERRORS; NUMERICAL METHODS; PRINCIPAL COMPONENT ANALYSIS;

ANOVA DECOMPOSITIONS; ASSET PRICING; BROWNIAN BRIDGE; EFFECTIVE DIMENSIONS; QUASI MONTE CARLO METHODS;

MONTE CARLO METHODS;

EID: 84858282631     PISSN: 0885064X     EISSN: 10902708     Source Type: Journal    
DOI: 10.1016/j.jco.2011.10.011     Document Type: Article

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