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Volumn 34, Issue 1, 2012, Pages

Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance

Author keywords

Brownian bridge; Computational finance; Control variates; High dimensional model representation; Importance sampling; Principal component analysis; Quasi Monte Carlo methods

Indexed keywords

ECONOMICS; FINANCIAL DATA PROCESSING; IMPORTANCE SAMPLING; NUMERICAL METHODS; ONE DIMENSIONAL;

EID: 84861364719     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/100814597     Document Type: Article
Times cited : (3)

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