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Pricing and hedging with discontinuous functions: quasi-Monte Carlo methods and dimension reduction

Pricing and hedging with discontinuous functions: quasi-Monte Carlo methods and dimension reduction This abstract describes a paper that establishes the relationship among dimension reduction ...
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Description: This abstract describes a paper that establishes the relationship among dimension reduction methods, the feature of discontinuity and the performance of QMC methods, with special interest in understanding why BB and PCA do not offer a consistent advantage in QMC.
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- Authors: Ken Seng Tan, Xiaoqun Wang
- Date: Jul 2010

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Pricing and hedging with discontinuous functions: quasi-Monte Carlo methods and dimension reduction