Quasi-Monte Carlo for finance beyond Black-Scholes

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dc.contributor.author Baldeaux, Jan en_US
dc.contributor.editor Chang, J. L. C. et al en_US
dc.date.accessioned 2012-02-14T04:23:21Z
dc.date.available 2012-02-14T04:23:21Z
dc.date.issued 2008 en_US
dc.identifier 2011000597 en_US
dc.identifier.citation Baldeaux Jan 2008, 'Quasi-Monte Carlo for finance beyond Black-Scholes', , Australian Mathematical Scoiety, Australia, , pp. C884-C897. en_US
dc.identifier.issn 1446-8735 en_US
dc.identifier.other E1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/17272
dc.description.abstract Quasi-Monte Carlo methods are used to approximate integrals of high dimensionality. However, if the problem under consideration is of unbounded dimensionality, it is not obvious if one can apply quasi-Monte Carlo methods at all. We introduce a hybrid approach combining quasi-Monte Carlo and Monte Carlo methods and apply it to a finance problem of unbounded dimensionality. We find that this hybrid approach improves on a Monte Carlo approach. en_US
dc.language en_US
dc.publisher Australian Mathematical Scoiety en_US
dc.relation.isbasedon NA en_US
dc.title Quasi-Monte Carlo for finance beyond Black-Scholes en_US
dc.parent ANZIAM Journal: Proceedings Computational Techniques and Applications Conference en_US
dc.journal.volume 50 en_US
dc.journal.number en_US
dc.publocation Australia en_US
dc.identifier.startpage C884 en_US
dc.identifier.endpage C897 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010200 en_US
dc.personcode 109782 en_US
dc.percentage 100 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom Computational Techniques and Applications Conference en_US
dc.date.activity 20080713 en_US
dc.location.activity Canberra, Australia en_US
dc.description.keywords NA en_US
dc.staffid en_US
dc.staffid 109782 en_US


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