Abstract
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational fi-nance, and survey recent developments in this field. We describe methods for pricing european path-dependent options, and also discuss problems involving the estimation of gradients and the simulation of stochastic volatility models.
Cite
CITATION STYLE
Lemieux, C., & L’ecuyer, P. (2001). On the use of quasi-monte carlo methods in computational finance. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 2073, pp. 607–616). Springer Verlag. https://doi.org/10.1007/3-540-45545-0_70
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