A short introduction to quasi-Monte Carlo option pricing

Gunther Leobacher

A short introduction to quasi-Monte Carlo option pricing

Gunther Leobacher

Institute of Financial Mathematics and Applied Number Theory

Research output: Chapter in Book/Report/Conference proceeding › Conference proceedings › peer-review

Original language	English
Title of host publication	Uniform distribution and quasi-Monte Carlo methods - Discrepancy, Integration and Applications
Editors	Peter Kritzer, Harald Niederreiter, Friedrich Pillichshammer and Arne Winterhof
Place of Publication	Berlin
Publisher	De Gruyter
Number of pages	31
Publication status	Published - 2014

Fields of science

101007 Financial mathematics
101025 Number theory

JKU Focus areas

Computation in Informatics and Mathematics

Cite this

@inproceedings{a17a797deb8549e6ad1e11dc42280823,

title = "A short introduction to quasi-Monte Carlo option pricing",

author = "Gunther Leobacher",

year = "2014",

language = "English",

editor = "\{Peter Kritzer, Harald Niederreiter, Friedrich Pillichshammer and Arne Winterhof\}",

booktitle = "Uniform distribution and quasi-Monte Carlo methods - Discrepancy, Integration and Applications",

publisher = "De Gruyter",

}

A short introduction to quasi-Monte Carlo option pricing. / Leobacher, Gunther.
Uniform distribution and quasi-Monte Carlo methods - Discrepancy, Integration and Applications. ed. / Peter Kritzer, Harald Niederreiter, Friedrich Pillichshammer and Arne Winterhof. Berlin: De Gruyter, 2014.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceedings › peer-review