Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Year of publication: |
2023
|
---|---|
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
|
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 |
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