Jennifer X.F. Jiang

Northwestern University - Department of Industrial Engineering and Management Sciences

Evanston, IL 60208-3119

United States

http://users.iems.nwu.edu/~xfjiang

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing

Number of pages: 17 Posted: 29 Dec 2004
Jennifer X.F. Jiang and John R. Birge
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Downloads 623 (41,143)

Abstract:

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Quasi-Monte Carlo methods, numerical integration, option pricing, low discrepancy sequences

2.

Error Bounds for Quasi-Monte Carlo Methods in Option Pricing

Number of pages: 23 Posted: 29 Dec 2004
Jennifer X.F. Jiang and John R. Birge
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Chicago - Booth School of Business
Downloads 242 (124,639)

Abstract:

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Error bounds, numerical integration, Quasi-Monte Carlo methods, option pricing