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  • Search: subject:"Low-discrepancy sequence"
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Low-discrepancy sequence 2 Derivative pricing 1 Discrepancy 1 Ergodic theory 1 Error estimation 1 Numerical integration 1 Path dependent option 1 Quasi Monte Carlo method 1 Quasi-Monte Carlo simulation 1 Randomization 1
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Ninomiya, Syoiti 1 Tamura, Tsutomu 1
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Asia-Pacific Financial Markets 1 Mathematics and Computers in Simulation (MATCOM) 1
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RePEc 2
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Comparison of randomization techniques for low-discrepancy sequences in finance
Tamura, Tsutomu - In: Asia-Pacific Financial Markets 12 (2005) 3, pp. 227-244
Persistent link: https://www.econbiz.de/10005547722
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Constructing a new class of low-discrepancy sequences by using the β-adic transformation
Ninomiya, Syoiti - In: Mathematics and Computers in Simulation (MATCOM) 47 (1998) 2, pp. 403-418
It is well known that low-discrepancy sequences and their discrepancy play essential roles in quasi Monte Carlo methods [5]. In this paper, a new class of low-discrepancy sequences Nβ is constructed by using the ergodic theoretical transformation which is called β-adic transformation [7, 8]....
Persistent link: https://www.econbiz.de/10011051098
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