QMC techniques for CAT bond pricing.

Hansjörg Albrecher Jürgen Hartinger Robert F. Tichy

Published in: Monte Carlo Methods Appl. (2004)

Keyphrases

quasi monte carlo
option pricing
monte carlo
variance reduction
particle filter
black scholes model
state space
stock price
dynamic pricing
revenue management
learning algorithm
mean shift
particle filtering
financial markets
mechanism design