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Fast orthogonal transforms for pricing derivatives with quasi-Monte Carlo.

Christian IrrgeherGunther Leobacher
Published in: WSC (2012)
Keyphrases
  • quasi monte carlo
  • monte carlo
  • variance reduction
  • lapped transforms
  • particle filter
  • higher order
  • state space
  • image coding
  • markov chain
  • dynamic pricing
  • search algorithm