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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance |
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| Authors: | Duy-Minh Dang Kenneth R. Jackson Mohammadreza Mohammadi |
| Affiliation: | 1. School of Mathematics and Physics, The University of Queensland, St Lucia, Brisbane 4072, Australiaduyminh.dang@uq.edu.au;3. Department of Computer Science, University of Toronto, Toronto, ON M5S 3G4, Canada;4. Department of Statistical Sciences, University of Toronto, Toronto, ON M5S 3G3, Canada |
| Abstract: | |
| Keywords: | Conditional Monte Carlo variance reduction dimension reduction cross-currency Fourier transform partial differential equations |