Monte Carlo integration, quadratic resampling, and asset pricing
- Author
- BARRAQUAND, J
Digital Equipment Corp., Paris res. lab., 92563 Rueil-Malmaison, France - Conference title
- Colloque probabilités numériques
- Conference name
- Colloque probabilités numériques (Paris 1992-03)
- Author (monograph)
- BOULEAU, N (Author of introductory parts)1
Ecole des ponts, Paris, France (Funder/Sponsor)
Institut national de la recherche en informatique et en automatique, France (Funder/Sponsor)
Société de mathématiques appliquées et industrielles, France (Funder/Sponsor)
[1] Ecole des Ponts, Paris, France - Source
Mathematics and computers in simulation. 1995, Vol 38, Num 1-3, pp 173-182 ; ref : 5 ref
- CODEN
- MCSIDR
- ISSN
- 0378-4754
- Scientific domain
- Control theory, operational research; Computer science; Mathematics; Mechanics acoustics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Conference Paper
- Language
- English
- Keyword (fr)
- Formule quadrature Intégrale multiple Méthode Monte Carlo Parallélisme massif Transformation linéaire Echantillonnage préférentiel Evaluation actifs Réduction erreur Rééchantillonnage quadratique
- Keyword (en)
- Quadrature formula Multiple integral Monte Carlo method Massive parallelism Linear transformation Importance sampling Asset pricing
- Keyword (es)
- Fórmula cuadratura Integral múltiple Método Monte Carlo Paralelismo masivo Transformación lineal
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01C Numerical simulation
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01D Numerical approximation
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01P Numerical methods in mathematical programming, optimization and calculus of variations / 001A02I01P1 Numerical methods in mathematical programming
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01P Numerical methods in mathematical programming, optimization and calculus of variations / 001A02I01P2 Numerical methods in optimization and calculus of variations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01Q Numerical methods in probability and statistics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 3557214
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/0378-4754(93)E0080-O 
https://dx.doi.org/10.1016/0378-4754(93)E0080-O
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