Quasi-Monte Carlo for Finance Applications

@inproceedings{Giles2008QuasiMonteCF,
  title={Quasi-Monte Carlo for Finance Applications},
  author={Michael B. Giles and Frances Y. Kuo and Ian H. Sloan and B. J. Waterhouse},
  year={2008}
}
Monte Carlo methods are used extensively in computational finance to estimate the price of financial derivative options. In this paper we review the use of quasi-Monte Carlo methods to obtain the same accuracy at a much lower computational cost, and focus on these key ingredients: i) the generation of Sobol and lattice points; ii) reduction of effective dimension using the principal component analysis approach at full potential; and iii) randomization by shifting or digital shifting to give an… CONTINUE READING
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