Implementing quasi-Monte Carlo simulations with linear transformations

  title={Implementing quasi-Monte Carlo simulations with linear transformations},
  author={Piergiacomo Sabino},
  journal={Comput. Manag. Science},
Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed and several results have been proposed in order to improve its efficiency with the notion of effective dimension. To this aim, Imai and Tan introduced a general variance reduction technique in order to minimize the nominal dimension of the Monte Carlo method. Taking into account these advantages, we investigate this… CONTINUE READING
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