Quasi-Monte Carlo for finance beyond Black-Scholes

Baldeaux, J

Quasi-Monte Carlo for finance beyond Black-Scholes

Baldeaux, J

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Publisher:: Australian Mathematical Scoiety
Publication Type:: Conference
Citation:: Baldeaux Jan 2008, 'Quasi-Monte Carlo for finance beyond Black-Scholes', , Australian Mathematical Scoiety, Australia, , pp. C884-C897.
Issue Date:: 2008

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Field	Value	Language
dc.contributor.author	Baldeaux, J	en_US
dc.contributor.editor	Chang, J. L. C. et al	en_US
dc.date	20080713	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.publisher	Australian Mathematical Scoiety	en_US
dc.relation.ispartof	Verified OK	en_US
dc.relation.ispartof	ANZIAM Journal: Proceedings Computational Techniques and Applications Conference	en_US
dc.relation.isbasedon	NA	en_US
dc.subject.classification	Applied Mathematics	en_US
dc.title	Quasi-Monte Carlo for finance beyond Black-Scholes	en_US
dc.type	Conference
utslib.citation.volume	50	en_US
utslib.location	Australia	en_US
utslib.citation.startpage	C884	en_US
utslib.citation.endpage	C897	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	010200	en_US
utslib.percentage	100	en_US
dc.location.activity	Canberra, Australia	en_US
utslib.copyright.status	closed_access

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.

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http://hdl.handle.net/10453/17272