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math.ST2019
Array-RQMC for option pricing under stochastic volatility models
Amal Ben Abdellah, Pierre L'Ecuyer, Florian Puchhammer
Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to estimate an expected c…
math.ST2018
Density estimation by Randomized Quasi-Monte Carlo
Amal Ben Abdellah, Pierre L'Ecuyer, Art B. Owen +1
We consider the problem of estimating the density of a random variable that can be sampled exactly by Monte Carlo (MC). We investigate the effectiveness of replacing MC by rand…