Variance reduction for multivariate Monte Carlo simulation
Year of publication: |
2008
|
---|---|
Authors: | Wang, Jr-yan |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 16.2008/09, 1, p. 7-28
|
Subject: | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Varianzanalyse | Analysis of variance | Theorie | Theory |
-
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue, (2022)
-
Bootstrapping smooth functions of slope parameters and innovation variances in VAR (∞) models
Inoue, Atsushi, (1999)
-
Approximations of option price elasticities for importance sampling
Müller, Armin, (2016)
- More ...
-
Loss aversion and the term structure of interest rates
Hung, Mao-Wei, (2011)
-
A lattice model for option pricing under GARCH-jump processes
Lin, Bing-Huei, (2013)
-
Chung, San-Lin, (2018)
- More ...