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

HAL Id: inria-00070407

https://hal.inria.fr/inria-00070407

Submitted on 19 May 2006

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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

To cite this version:

Giray Ökten, Bruno Tuffin, Vadim Burago. A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance. [Research Report] RR-5600, INRIA. 2005, pp.28. �inria-00070407�

ISRN INRIA/RR--5600--FR+ENG

a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

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

N˚5600

Juin 2005

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