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Quasi-Monte Carlo methods for the Kou model. (English) Zbl 1151.91476
Summary: We firstly show how to formulate the finance problem as an integration problem so that QMC methods can be applied to it. Consequently, we introduce QMC approaches for the integration problems pertaining to the Poisson processes, compound Poisson processes and jump-diffusion processes underlying the Kou model. As opposed to increment-by-increment approaches, our approaches change the ordering of the variates in the integration problems to pack more variance into the opening dimensions. We report numerical experiments indicating that the approaches introduced achieve lower standard errors than the increment-by-increment approaches.

91G60 Numerical methods (including Monte Carlo methods)
65C05 Monte Carlo methods
Full Text: DOI
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