Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Ye Xiao, Xiaoqun Wang
| Year of publication: |
2019
|
|---|---|
| Authors: | Xiao, Ye ; Wang, Xiaoqun |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 1, p. 343-366
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| Subject: | Derivative pricing | Dimension reduction | Principal component analysis | Quasi-Monte Carlo | Taylor approximation | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Simulation | Stochastischer Prozess | Stochastic process | Hauptkomponentenanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9732-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134177