A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING
نویسندگان
چکیده
منابع مشابه
Latin hypercube sampling with multidimensional uniformity
Complex models can only be realized a limited number of times due to large computational requirements. Methods exist for generating input parameters for model realizations including Monte Carlo simulation (MCS) and Latin hypercube sampling (LHS). Recent algorithms such as maximinLHS seek to maximize the minimum distance between model inputs in the multivariate space. A novel extension of Latin ...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2012
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902491250046x