An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures

Chengfeng Weng, Xiaoqun Wang, Zhijian He. An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures. European Journal of Operational Research, 254(1):304-311, 2016. [doi]

Authors

Chengfeng Weng

This author has not been identified. Look up 'Chengfeng Weng' in Google

Xiaoqun Wang

This author has not been identified. Look up 'Xiaoqun Wang' in Google

Zhijian He

This author has not been identified. Look up 'Zhijian He' in Google