Evaluating of path-dependent securities with low discrepancy methods

By I. Krykova. 2003

36 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Wei Gong
2. Chen Wang
3. Chiyuan Miao
4. Aizhong Ye
5. Zhenhua Di
6. Qingyun Duan
7. Markus Kraft
8. Iftekhar A. Karimi

Citations in the corpus

• An evaluation of adaptive surrogate modeling based optimization with two benchmark problems (2014, methodology): “A low-discrepancy sequence is a set of sdimensional points, filling the sample area “efficiently” and has a low discrepancy than straight pseudo-random number set (Krykova, 2003).”
• Design of computer experiments: A review (2017, background): “Moreover, in some cases there might be a linear correlation between the generated samples of the sequence [99].”