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Imai, Junichi; Kawai, Reiichiro Quasi-Monte Carlo method for infinitely divisible random vectors via series representations. (English) Zbl 1216.60015 SIAM J. Sci. Comput. 32, No. 4, 1879-1897 (2010). MSC: 60E07 65C05 65D30 65B10 PDFBibTeX XMLCite \textit{J. Imai} and \textit{R. Kawai}, SIAM J. Sci. Comput. 32, No. 4, 1879--1897 (2010; Zbl 1216.60015) Full Text: DOI Link
Imai, Junichi; Tan, Ken Seng An accelerating quasi-Monte Carlo method for option pricing under the generalized hyperbolic Lévy process. (English) Zbl 1189.91207 SIAM J. Sci. Comput. 31, No. 3, 2282-2302 (2009). MSC: 91G20 65C05 65D30 60G51 91G60 PDFBibTeX XMLCite \textit{J. Imai} and \textit{K. S. Tan}, SIAM J. Sci. Comput. 31, No. 3, 2282--2302 (2009; Zbl 1189.91207) Full Text: DOI
Wang, Xiaoqun; Sloan, Ian H. Why are high-dimensional finance problems often of low effective dimension? (English) Zbl 1149.65303 SIAM J. Sci. Comput. 27, No. 1, 159-183 (2005). MSC: 65C05 65D30 91G60 PDFBibTeX XMLCite \textit{X. Wang} and \textit{I. H. Sloan}, SIAM J. Sci. Comput. 27, No. 1, 159--183 (2005; Zbl 1149.65303) Full Text: DOI