A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
Acta Universitatis Apulensis. Mathematics - Informatics (2009)
- Volume: 19, page 217-235
- ISSN: 1582-5329
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topRoşca, Natalia C.. "A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.." Acta Universitatis Apulensis. Mathematics - Informatics 19 (2009): 217-235. <http://eudml.org/doc/224362>.
@article{Roşca2009,
author = {Roşca, Natalia C.},
journal = {Acta Universitatis Apulensis. Mathematics - Informatics},
keywords = {Monte Carlo integration; quasi-Monte Carlo integration; discrepancy; sequences with low discrepancy; normal inverse Gaussian distribution; option pricing; discrepancy; sequences with low discrepancy},
language = {eng},
pages = {217-235},
publisher = {"1 Decembrie 1918" University of Alba Iulia, Department of Mathematics and Informatics},
title = {A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.},
url = {http://eudml.org/doc/224362},
volume = {19},
year = {2009},
}
TY - JOUR
AU - Roşca, Natalia C.
TI - A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
JO - Acta Universitatis Apulensis. Mathematics - Informatics
PY - 2009
PB - "1 Decembrie 1918" University of Alba Iulia, Department of Mathematics and Informatics
VL - 19
SP - 217
EP - 235
LA - eng
KW - Monte Carlo integration; quasi-Monte Carlo integration; discrepancy; sequences with low discrepancy; normal inverse Gaussian distribution; option pricing; discrepancy; sequences with low discrepancy
UR - http://eudml.org/doc/224362
ER -
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