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Quasi-Monte Carlo methods in finance
High-dimensional integrals in hundreds or thousands of variables occur commonly in finance. These integrals have to be computed numerically to within…
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Bruno Dupire
Computational finance
Curse of dimensionality
Historical simulation (finance)
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Monte Carlo methods in finance
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2000
2000
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
Yongzeng Lai
,
J. Spanier
2000
Corpus ID: 125234196
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model…
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1998
1998
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
Puxiang Lai
1998
Corpus ID: 15878734
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides…
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