Random sampling from low-discrepancy sequences: applications to option pricing
نویسندگان
چکیده
منابع مشابه
Golden Ratio Sequences for Low-Discrepancy Sampling
Most classical constructions of low-discrepancy point sets are based on generalizations of the one-dimensional binary van der Corput sequence whose implementation requires non-trivial bit-operations. As an alternative we introduce the quasi-regular golden ratio sequences which are based on the fractional part of successive integer multiples of the golden ratio. By leveraging results from number...
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Sequences of points with a low discrepancy are the basic building blocks for quasi-Monte Carlo methods. Traditionally these points are generated in a unit cube. To develop point sets on a simplex we will transform the lowdiscrepancy points for the unit cube to a simplex. An advantage of this approach is that most of the known results on low discrepancy sequences can be re-used. After introducin...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2002
ISSN: 0895-7177
DOI: 10.1016/s0895-7177(02)00081-x