Smoothness and dimension reduction in Quasi-Monte Carlo methods
نویسندگان
چکیده
منابع مشابه
Enhanced Quasi-monte Carlo Methods with Dimension Reduction
In recent years, the quasi-Monte Carlo approach for pricing high-dimensional derivative securities has been used widely relative to other competitive approaches such as the Monte Carlo methods. Such success can be, in part, attributed to the notion of effective dimension of the finance problems. In this paper, we provide additional insight on the connection between the effective dimension and t...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 1996
ISSN: 0895-7177
DOI: 10.1016/0895-7177(96)00038-6