Deterministic multi-level algorithms for infinite-dimensional integration on R N

Pricing a path-dependent financial derivative, such as an Asian option, requires the computation of E ( g ( B ) ) , the expectation of a payoff function g , that depends on a Brownian motion B . Employing a standard series expansion of B the latter problem is equivalent to the computation of the exp...

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Vydané v:	Journal of Complexity Ročník 27; číslo 3; s. 331 - 351
Hlavní autori:	Niu, Ben, Hickernell, Fred J., Müller-Gronbach, Thomas, Ritter, Klaus
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier Inc 01.06.2011
Predmet:	Fixed subspace sampling Infinite-dimensional quadrature Low discrepancy points Multi-level method Tractability Variable subspace sampling Tractability Fixed subspace sampling Multi-level method Infinite-dimensional quadrature Low discrepancy points Variable subspace sampling
ISSN:	0885-064X, 1090-2708
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