论文信息 - Applications of a Hybrid-Monte Carlo Sequence to Option Pricing

Applications of a Hybrid-Monte Carlo Sequence to Option Pricing

The advantages of quasi-Monte Carlo methods diminish, mainly due to practical constraints, as the dimension of the problem grows. This phenomenon has been widely observed in several fields, especially in particle transport theory, and several methods have been proposed to provide remedies for the difficulties faced in high dimensional quasi-Monte Carlo simulation.

Giray Ökten | G. Ökten

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