Abstract
Abstract We describe an implementation of the de-biased estimator using mixed sequences; these are sequences obtained from pseudorandom and low-discrepancy sequences. We use this implementation to numerically solve some stochastic differential equations from computational finance. The mixed sequences, when combined with Brownian bridge or principal component analysis constructions, offer convergence rates significantly better than the Monte Carlo implementation.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
