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q-fin.CP2022
The importance of being scrambled: supercharged Quasi Monte Carlo
J. Hok, S. Kucherenko
In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, u…
q-fin.CP2022★ 1 cited
Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU
Paul Bilokon, Sergei Kucherenko, Casey Williams
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous…