Sándor, Sándor, Z.; András, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter-Xing sequences and lattice points) and some...