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Applications of randomized low discrepancy sequences to the valuation of complex securities

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  • Tan, Ken Seng
  • Boyle, Phelim P.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-412RWNR-B/2/10902c7369660310d0696ca96f51aaf2
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 24 (2000)
    Issue (Month): 11-12 (October)
    Pages: 1747-1782

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    Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1747-1782

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    1. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    2. S. Ninomiya & S. Tezuka, 1996. "Toward real-time pricing of complex financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 1-20.
    3. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, INFORMS, vol. 42(6), pages 926-938, June.
    4. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers, Santa Fe Institute 95-03-034, Santa Fe Institute.
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    Cited by:
    1. Yu, Jie & Goos, Peter & Vandebroek, Martina, 2010. "Comparing different sampling schemes for approximating the integrals involved in the efficient design of stated choice experiments," Transportation Research Part B: Methodological, Elsevier, vol. 44(10), pages 1268-1289, December.
    2. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
    3. Vandewoestyne, Bart & Chi, Hongmei & Cools, Ronald, 2010. "Computational investigations of scrambled Faure sequences," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 81(3), pages 522-535.
    4. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(12), pages 2399-2426, December.
    5. Sándor, Z. & Andr�s, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, Elsevier, vol. 120(2), pages 207-234, June.

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