2006•Journal of ComplexityOpen access

A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance

Giray Ökten, Bruno Tuffin, Vadim Burago

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Key concepts: Monte Carlo method, Quasi-Monte Carlo method, Sequence (biology), Hybrid Monte Carlo, Mathematics, Monte Carlo method in statistical physics, Central limit theorem, Dynamic Monte Carlo method

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A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance — Research Paper | ScholarLens