Applications of a Hybrid-Monte Carlo Sequence to Option Pricing
The advantages of quasi-Monte Carlo methods diminish, mainly due to practical constraints, as the dimension of the problem grows. This phenomenon has been widely observed in several fields, especially in particle transport theory, and several methods have been proposed to provide remedies for the difficulties faced in high dimensional quasi-Monte Carlo simulation.
One of the methods that has been used successfully in various high dimensional problems will be presented. The advantages of this method will be illustrated when applied to selected problems from option pricing.
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