Quasi-Monte Carlo methods in finance
id:
quasi-monte-carlo-methods-in-finance-188-16802320
title:
Quasi-Monte Carlo methods in finance
text:
High-dimensional integrals in hundreds or thousands of variables occur commonly in finance. These integrals have to be computed numerically to within a threshold ϵ. If the integral is of dimension d then in the worst case, where one has a guarantee of error at most ϵ, the computational complexity is typically of order ϵ − d. That is, the problem suffers the curse of dimensionality. In 1977 P. Boyle, University of Waterloo, proposed using Monte Carlo (MC) to evaluate options. Starting in early 19
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Quasi-Monte_Carlo_methods_in_finance
date created:
2007-10-31T18:25:46Z
date modified:
2024-09-09T08:04:42Z
main entity:
{"identifier":"Q7269433","url":"https://www.wikidata.org/entity/Q7269433"}
image:
fields total:
13
integrity:
14