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Randomized quasi-Monte Carlo methods in pricing securities

  • Okten, Giray
  • Eastman, Warren
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4BSVBTH-1/2/0849fca998bb8190cea065e36b2152a0
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 28 (2004)
    Issue (Month): 12 (December)
    Pages: 2399-2426

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    Handle: RePEc:eee:dyncon:v:28:y:2004:i:12:p:2399-2426
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.
    2. Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi - Monte Carlo Methods in Stochastic Simulations," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    3. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    4. S. Ninomiya & S. Tezuka, 1996. "Toward real-time pricing of complex financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 1-20.
    5. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
    6. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
    7. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 31-34, January.
    8. Tan, Ken Seng & Boyle, Phelim P., 2000. "Applications of randomized low discrepancy sequences to the valuation of complex securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1747-1782, October.
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