Quasi-Monte Carlo in finance: extending for problems of high effective dimension
In this paper we show that it is possible to extend the use of quasi-Monte Carlo for applications of high effective dimension. This is achieved through a combination of a careful construction of the Sobol sequence and an appropriately chosen decomposition of a covariance matrix. The effectiveness of...
Main Authors: | , |
---|---|
Format: | Article |
Language: | Portuguese |
Published: |
Universidade de São Paulo
2005-12-01
|
Series: | Economia Aplicada |
Subjects: | |
Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502005000400004 |