# 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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