A study of quasi-Monte Carlo methods and variance reduction techniques for improving the least-squares Monte Carlo algorithm for American option pricing

Lemieux, ChristianeScollnik, David P. M.La-Trinh, Jennie H.T.2017-12-182017-12-182007La-Trinh, J. H. (2007). A study of quasi-Monte Carlo methods and variance reduction techniques for improving the least-squares Monte Carlo algorithm for American option pricing (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/1406http://hdl.handle.net/1880/102407Bibliography: p. 89-96ix, 96 leaves : ill. ; 30 cm.engUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.A study of quasi-Monte Carlo methods and variance reduction techniques for improving the least-squares Monte Carlo algorithm for American option pricingmaster thesis10.11575/PRISM/1406