Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment

Junichi Imai; Ken Seng Tan

doi:10.1137/130926286

Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment

SIAM Journal on Scientific Computing ◽

10.1137/130926286 ◽

2014 ◽

Vol 36 (5) ◽

pp. A2101-A2121 ◽

Cited By ~ 8

Author(s):

Junichi Imai ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Derivative Securities ◽

Quasi Monte Carlo ◽

Pricing Derivative Securities

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Enhanced quasi-Monte Carlo methods with dimension reduction

Proceedings of the Winter Simulation Conference ◽

10.1109/wsc.2002.1166425 ◽

2003 ◽

Cited By ~ 10

Author(s):

J. Imai ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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On the use of dimension reduction techniques in quasi-Monte Carlo methods

Mathematical and Computer Modelling ◽

10.1016/j.mcm.2007.05.020 ◽

2008 ◽

Vol 48 (11-12) ◽

pp. 1925-1937

Author(s):

Y.Z. Zhao

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Reduction Techniques ◽

Dimension Reduction Techniques

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Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction

Operations Research ◽

10.1287/opre.1100.0853 ◽

2011 ◽

Vol 59 (1) ◽

pp. 80-95 ◽

Cited By ~ 38

Author(s):

Xiaoqun Wang ◽

Ian H. Sloan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Equivalence Principle ◽

Financial Engineering ◽

Quasi Monte Carlo

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Smoothness and dimension reduction in Quasi-Monte Carlo methods

Mathematical and Computer Modelling ◽

10.1016/0895-7177(96)00038-6 ◽

1996 ◽

Vol 23 (8-9) ◽

pp. 37-54 ◽

Cited By ~ 109

Author(s):

B. Moskowitz ◽

R.E. Caflisch

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.05.004 ◽

2018 ◽

Vol 343 ◽

pp. 289-308 ◽

Cited By ~ 6

Author(s):

Ye Xiao ◽

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Discontinuous Functions ◽

Quasi Monte Carlo

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Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction

Management Science ◽

10.1287/mnsc.1120.1568 ◽

2013 ◽

Vol 59 (2) ◽

pp. 376-389 ◽

Cited By ~ 24

Author(s):

Xiaoqun Wang ◽

Ken Seng Tan

Keyword(s):

Monte Carlo ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Discontinuous Functions ◽

Quasi Monte Carlo

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Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing

INFORMS Journal on Computing ◽

10.1287/ijoc.1080.0304 ◽

2009 ◽

Vol 21 (3) ◽

pp. 488-504 ◽

Cited By ~ 10

Author(s):

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Dimension Reduction ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Reduction Techniques ◽

Dimension Reduction Techniques

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Correction to “Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond”

ANZIAM Journal ◽

10.21914/anziamj.v54i0.6962 ◽

2013 ◽

Vol 54 ◽

pp. 216 ◽

Cited By ~ 1

Author(s):

F. Y. Kuo ◽

Ch. Schwab ◽

I. H. Sloan

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

Space Setting

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Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs

Mathematical Programming ◽

10.1007/s10107-020-01538-6 ◽

2020 ◽

Author(s):

H. Leövey ◽

W. Römisch

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Mixed Integer ◽

Two Stage ◽

Integer Programs ◽

Quasi Monte Carlo ◽

Mixed Integer Programs

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Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Mathematics of Computation ◽

10.1090/mcom/3207 ◽

2017 ◽

Vol 86 (308) ◽

pp. 2827-2860 ◽

Cited By ~ 32

Author(s):

Frances Y. Kuo ◽

Robert Scheichl ◽

Christoph Schwab ◽

Ian H. Sloan ◽

Elisabeth Ullmann

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Quasi Monte Carlo ◽

Diffusion Problems

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