Estimation method and system for complex securities using low-discrepancy deterministic sequences

摘要: In securities trading, in setting the initial offering price of a financial instrument, or later revaluation as parameters such interest rates may change, an estimate value instrument be represented multi-dimensional integral. For evaluation integral, numerical integration is preferred with integrand being sampled at deterministic points having low-discrepancy property. The technique produces approximate values significant computational savings and greater reliability compared Monte Carlo technique.