An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process

Junichi Imai, Ken Seng Tan. An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process. SIAM J. Scientific Computing, 31(3):2282-2302, 2009. [doi]

Abstract

Abstract is missing.