Quasi-Monte Carlo for finance beyond Black-Scholes
- Australian Mathematical Scoiety
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- Baldeaux Jan 2008, 'Quasi-Monte Carlo for finance beyond Black-Scholes', , Australian Mathematical Scoiety, Australia, , pp. C884-C897.
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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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