Quasi-Monte Carlo methods with applications in finance
Work
Year: 2009
Type: article
Abstract: We review the basic principles of quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction techniques, the integration error and variance bounds obtained in terms of ... more
Source: Finance and Stochastics
Author Pierre L’Ecuyer
Institution Université de Montréal
Cites: 127
Cited by: 135
Related to: 10
FWCI: 15.69
Citation percentile (by year/subfield): 99.95
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
APC paid (est): $2,890