Random number generation and quasi-Monte Carlo methods
Random number generation and quasi-Monte Carlo methods
Simulation in financial engineering: stopping simulated paths early
Proceedings of the 33nd conference on Winter simulation
On the Use of Quasi-Monte Carlo Methods in Computational Finance
ICCS '01 Proceedings of the International Conference on Computational Sciences-Part I
Monte carlo computation of conditional expectation quantiles
Monte carlo computation of conditional expectation quantiles
Simulation in financial engineering: simulation in financial engineering
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
New simulation methodology for finance: work reduction in financial simulations
Proceedings of the 35th conference on Winter simulation: driving innovation
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This paper presents an overview of techniques for improving the efficiency of option pricing simulations, including quasi-Monte Carlo methods, variance reduction, and methods for dealing with discretization error.