Randomized quasi-Monte Carlo methods in pricing securities
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- Tuffin Bruno, 1996. "On the use of low discrepancy sequences in Monte Carlo methods," Monte Carlo Methods and Applications, De Gruyter, vol. 2(4), pages 295-320, December.
- 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.
- Jenny X. Li & Peter Winker, 2003.
"Time Series Simulation with Quasi Monte Carlo Methods,"
Springer;Society for Computational Economics, vol. 21(1_2), pages 23-43, 02.
- Jenny Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 23-43, February.
- Peter Winker & Jenny Li, 2000. "Time Series Simulation With Quasi-Monte Carlo Methods," Computing in Economics and Finance 2000 151, Society for Computational Economics.
- Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.
- Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Fiscal Policy Simulations using an Aggregate Disequilibrium Model of the West German Economy," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- den Haan, Wouter J & Marcet, Albert, 1990.
"Solving the Stochastic Growth Model by Parameterizing Expectations,"
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- Wouter Denhaan & Albert Marcet, 1990. "FORTRAN code for Simulation Parameterized Expecations Algorithm," QM&RBC Codes 57, Quantitative Macroeconomics & Real Business Cycles.
- 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.
- Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
- 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.
- 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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