Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
- 1 January 1997
- journal article
- Published by Infopro Digital Services Limited in Journal of Computational Finance
- Vol. 1 (1) , 27-46
- https://doi.org/10.21314/jcf.1997.005
Abstract
The quasi-Monte Carlo method for financial valuation and other integration problems has error bounds of size O((log N)k..., Original Research, Computational financeKeywords
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