Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks

SSRN Electronic Journal ◽

10.2139/ssrn.2911698 ◽

2017 ◽

Cited By ~ 2

Author(s):

Stefano Scoleri ◽

Marco Bianchetti ◽

Sergei Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Option Pricing ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo

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Global Sensitivity Analysis for Power Systems via Quasi-Monte Carlo Methods

2019 4th International Conference on System Reliability and Safety (ICSRS) ◽

10.1109/icsrs48664.2019.8987666 ◽

2019 ◽

Author(s):

Jamie Fox ◽

Giray Okten ◽

Bahri Uzunoglu

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Power Systems ◽

Monte Carlo Methods ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo

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On global sensitivity analysis of quasi-Monte Carlo algorithms

Monte Carlo Methods and Applications ◽

10.1515/1569396054027274 ◽

2005 ◽

Vol 11 (1) ◽

Cited By ~ 7

Author(s):

I.M. Sobol´ ◽

S.S. Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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Pricing and Risk Management with High-Dimensional Quasi-Monte Carlo and Global Sensitivity Analysis

Wilmott ◽

10.1002/wilm.10434 ◽

2015 ◽

Vol 2015 (78) ◽

pp. 46-70 ◽

Cited By ~ 8

Author(s):

Marco Bianchetti ◽

Sergei Kucherenko ◽

Stefano Scoleri

Keyword(s):

Sensitivity Analysis ◽

Risk Management ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

High Dimensional ◽

Global Sensitivity ◽

Quasi Monte Carlo

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Erratum: “Quasi-Monte Carlo technique in global sensitivity analysis of wind resource assessment with a study on UAE” [J. Renewable Sustainable Energy 11, 053303 (2019)]

Journal of Renewable and Sustainable Energy ◽

10.1063/5.0007143 ◽

2020 ◽

Vol 12 (6) ◽

pp. 069901

Author(s):

Olga Tsvetkova ◽

Taha B. M. J. Ouarda

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Sustainable Energy ◽

Resource Assessment ◽

Monte Carlo Technique ◽

Global Sensitivity ◽

Quasi Monte Carlo ◽

Wind Resource Assessment ◽

Wind Resource

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Randomized quasi-Monte Carlo methods in global sensitivity analysis

Reliability Engineering & System Safety ◽

10.1016/j.ress.2021.107520 ◽

2021 ◽

Vol 210 ◽

pp. 107520 ◽

Cited By ~ 1

Author(s):

Giray Ökten ◽

Yaning Liu

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Monte Carlo Methods ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo

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Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.2592753 ◽

2015 ◽

Author(s):

Marco Bianchetti ◽

Sergei Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Risk Management ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

High Dimensional ◽

Global Sensitivity ◽

Quasi Monte Carlo

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Quasi-Monte Carlo technique in global sensitivity analysis of wind resource assessment with a study on UAE

Journal of Renewable and Sustainable Energy ◽

10.1063/1.5120035 ◽

2019 ◽

Vol 11 (5) ◽

pp. 053303 ◽

Cited By ~ 1

Author(s):

Olga Tsvetkova ◽

Taha B. M. J. Ouarda

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Resource Assessment ◽

Monte Carlo Technique ◽

Global Sensitivity ◽

Quasi Monte Carlo ◽

Wind Resource Assessment ◽

Wind Resource

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On global sensitivity analysis of quasi-Monte Carlo algorithms

Monte Carlo Methods and Applications ◽

10.1163/1569396054027274 ◽

2005 ◽

Vol 11 (1) ◽

pp. 83-92 ◽

Cited By ~ 21

Author(s):

I.M. Sobol ◽

S.S. Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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Sensitivity Analysis in Diagnostic Modelling: Monte Carlo Filtering and Regionalised Sensitivity Analysis, Bayesian Uncertainty Estimation and Global Sensitivity Analysis

Sensitivity Analysis in Practice ◽

10.1002/0470870958.ch6 ◽

2004 ◽

pp. 151-192 ◽

Cited By ~ 1

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Uncertainty Estimation ◽

Global Sensitivity

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Global Sensitivity Analysis of a Distributed Hydrologic Model Using Monte Carlo Simulation

World Environmental and Water Resources Congress 2010 ◽

10.1061/41114(371)482 ◽

2010 ◽

Author(s):

Tibebe Dessalegne ◽

Sharika U. S. Senarath ◽

Raul J. Novoa

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Hydrologic Model ◽

Global Sensitivity ◽

Distributed Hydrologic Model

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