Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone
| Year of publication: |
2023
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|---|---|
| Authors: | Bayer, Christian ; Ben Hammouda, Chiheb ; Tempone, Raúl |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 2, p. 209-227
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| Subject: | Adaptive sparse grid quadrature | Brownian bridge | Distribution functions | Greeks | Monte Carlo | Numerical smoothing | Option pricing | Quasi-Monte Carlo | Richardson extrapolation | Risk estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2135455 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232621