74
Views
81
CrossRef citations to date
0
Altmetric
Original Articles

Toward real-time pricing of complex financial derivatives

&
Pages 1-20 | Received 01 Dec 1995, Published online: 28 Jul 2006

References

  • Faure , H. 1982 . Discrépance de Suites Associées à un Système de Numération (en Dimension s) . Acta Arith. , 41 : 337 – 351 .
  • Hull , J.C. 1993 . Options, Futures, and Other Derivative Securities , 2nd , Prentice-Hall, Inc. .
  • Morokoff , W.J. and Caflisch , R.E. 1994 . Quasi-random sequences and their discrepancies . SIAM J. Scientific Computing , 15 : 1251 – 1279 .
  • Niederreiter , H. Random Number Generation and Quasi-Monte Carlo Methods , CBMS-NSF Regional Conference Series in Applied Math., No. 63 SIAM .
  • Paskov , S.H. Computing high dimensional integrals with applications to finance , Columbia University . Technical Report CUCS-023–94
  • Tezuka , S. 1993 . Polynomial arithmetic analogue of Halton sequences . ACM Trans. Modeling and Computer Simulation , 3 : 99 – 107 .
  • Tezuka , S. 1995 . Uniform Random Numbers: Theory and Practice , Boston : Kluwer Academic Publishers .
  • Tezuka , S. and L'Ecuyer , P. 1991 . Efficient and portable combined Tausworthe random number generators . ACM Trans. Modeling and Computer Simulation , 1 : 99 – 112 .
  • Traub , J.F. and Wozniakowski , H. 1994 . Breaking intractability . Scientific American , January : 102 – 107 .
  • Vasicek , O.A. 1977 . An equilibrium characterization of the term structure . J.Financial Economics , 5 : 177 – 188 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.