Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Duy-Minh Dang, Kenneth R. Jackson & Mohammadreza Mohammadi
| Year of publication: |
Nov.-Dec. 2015
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|---|---|
| Authors: | Dang, Duy Minh ; Jackson, Kenneth R. ; Mohammadi, Mohammadreza |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 5/6, p. 522-552
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| Subject: | Conditional Monte Carlo | variance reduction | dimension reduction | cross-currency | Fourier transform | partial differential equations | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2015.1110492 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011490623