IMPROVING THE PERFORMANCE OF LOW-DISCREPANCY SEQUENCES USING BROWNIAN BRIDGE IN MONTE CARLO SIMULATION OF OPTION PRICES - Monte Carlo simulation is an increasingly important technique for derivatives valuation. However, with longer maturities, more complex contingencies, and payoffs that depend on multiple assets, simulation problems are arising that require more and more computer runs to achieve ...
| Year of publication: |
1998
|
|---|---|
| Authors: | Jung, Alan |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 6.1998, 2, p. 85
|