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Search: subject:"quasi-Monte Carlo"
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Monte Carlo simulation
28
Monte-Carlo-Simulation
27
Quasi-Monte Carlo
26
Option pricing theory
18
Optionspreistheorie
18
Simulation
15
Monte Carlo
10
quasi-Monte Carlo
10
Quasi-Monte Carlo method
9
Numerical integration
7
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7
Quasi-Monte Carlo methods
7
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7
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7
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7
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7
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option pricing
6
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5
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5
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4
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4
Low-discrepancy sequences
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4
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4
Brownian bridge
3
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3
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3
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3
Lattice rules
3
Randomized quasi-Monte Carlo
3
Smoothing
3
quasi-Monte Carlo methods
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(t
2
American options
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Control variate methods
2
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Wang, Xiaoqun
7
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4
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4
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He, Zhijian
3
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3
Lai, Yongzeng
3
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3
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3
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2
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27
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8
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RePEc
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ECONIS (ZBW)
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1
The importance of being scrambled : supercharged
quasi-Monte
Carlo
Kucherenko, Sergei
;
Hok, Julien
- In:
Journal of risk : JOR
26
(
2023
)
1
,
pp. 27-46
Persistent link: https://www.econbiz.de/10014487277
Saved in:
2
Investment certificates pricing using a
Quasi-Monte
Carlo
framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
Saved in:
3
Numerical smoothing with hierarchical adaptive sparse grids and
quasi-Monte
Carlo
methods for efficient option pricing
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
Saved in:
4
Analysis and comparison of state-of-the-art fuzzy multi-criteria decision-making methods under different levels of uncertainty
Hinduja, Akshay
;
Pandey, Manju
- In:
Vision : the journal of business perspective
27
(
2023
)
1
,
pp. 93-109
Persistent link: https://www.econbiz.de/10014229717
Saved in:
5
Designed quadrature to approximate integrals in maximum simulated likelihood estimation
Bansal, Prateek
;
Keshavarzzadeh, Vahid
;
Guevara, Angelo
; …
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 301-321
Persistent link: https://www.econbiz.de/10013253833
Saved in:
6
Sensitivity estimation of conditional value at risk using randomized
quasi-Monte
Carlo
He, Zhijian
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 229-242
Persistent link: https://www.econbiz.de/10013206837
Saved in:
7
Monte carlo and
quasi-Monte
carlo
density estimation via conditioning
L'Ecuyer, Pierre
;
Puchhammer, Florian
;
Ben Abdellah, Amal
- In:
INFORMS journal on computing : JOC ; charting new …
34
(
2022
)
3
,
pp. 1729-1748
Persistent link: https://www.econbiz.de/10013361837
Saved in:
8
On the effective dimension and multilevel Monte Carlo
Kahalé, Nabil
- In:
Operations research letters
50
(
2022
)
4
,
pp. 415-421
Persistent link: https://www.econbiz.de/10013364126
Saved in:
9
Time series simulation with randomized
quasi-monte
carlo
methods : an application to value at risk and expected shortfall
Tzeng, Yu-Ying
;
Beaumont, Paul Michael
;
Ökten, Giray
- In:
Computational economics
52
(
2018
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10012052921
Saved in:
10
An integrated
Quasi-Monte
Carlo
method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian
;
Wang, Xiaoqun
- In:
Computational economics
57
(
2021
)
2
,
pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
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