Another Random Scrambling of Digital (t,s)-Sequences
This paper presents a new random scrambling of digital (t,s)-sequences and its application to two problems from finance, showing the usefulness of this new class of randomized low-discrepancy sequences; moreover the simplicity of the construction allows efficient implementation and should facilitate the derandomization in this particular class; also the search of the effective dimension in high dimensional applications should be improved by the use of such scramblings.
KeywordsInterest Rate Sample Path Effective Dimension Generator Matrice Expected Valu
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