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Filtering by: Keyword Option Pricing Resource type Dissertation

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Quasi-Monte Carlo Methods in Finance

Description:

The classic error bounds for quasi-Monte Carlo approximation follow the Koksma-Hlawka inequality based on the assumption that the integrand has finite variation. Unfortunately, not all functions have this property. In particular, integrands for common applications in finance, such as option pricing, do not typically have bounded variation. In contrast to...

Keyword:

Low discrepancy Sequences, Option Pricing, Quasi-Monte Carlo methods, Numerical integration, LIBOR Market Model, and Error Bounds

Subject:

Industrial Engineering and Management Sciences

Creator:

Xuefeng Jiang

Owner:

Scholarly Digital Publishing

Date Uploaded:

06/26/2018

Date Modified:

06/26/2018

Date Created:

2007-04-27

Resource Type:

Dissertation