Ninomiya, S.; Tezuka, S. - In: Applied Mathematical Finance 3 (1996) 1, pp. 1-20
In this paper, we investigate the feasibility of using low-discrepancy sequences to allow complex derivatives, such as … conventional Monte Carlo methods. In our experiments, we examine classical classes of low-discrepancy sequences, such as Halton … classical sequences and Monte Carlo methods; and (2) classical low-discrepancy sequences often perform worse than Monte Carlo …