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Chengfeng Weng
Publication Activity (10 Years)
Years Active: 2016-2017
Publications (10 Years): 2
Top Topics
Monte Carlo Method
Markov Chain
Dimension Reduction
Efficient Computation
Top Venues
SIAM J. Sci. Comput.
Eur. J. Oper. Res.
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Publications
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Chengfeng Weng
,
Xiaoqun Wang
,
Zhijian He
Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension Reduction.
SIAM J. Sci. Comput.
39 (2) (2017)
Chengfeng Weng
,
Xiaoqun Wang
,
Zhijian He
An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures.
Eur. J. Oper. Res.
254 (1) (2016)