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variance reduction
45
Variance reduction
36
Monte Carlo simulation
34
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27
Option pricing theory
21
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21
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17
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variance reduction techniques
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option pricing
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Nelson, Barry L.
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4
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2
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2
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2
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Management Science
27
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6
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5
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5
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4
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RePEc
63
ECONIS (ZBW)
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1
Ensemble
variance
reduction
methods for stochastic mixed-integer programming and their application to the stochastic facility location problem
Xu, Jiajun
;
Sen, Suvrajeet
- In:
INFORMS journal on computing : JOC ; charting new …
36
(
2024
)
2
,
pp. 587-599
Persistent link: https://www.econbiz.de/10014532313
Saved in:
2
Variance reduced Shapley value estimation for trustworthy data valuation
Wu, Mengmeng
;
Jia, Ruoxi
;
Lin, Changle
;
Huang, Wei
; …
- In:
Computers & operations research : and their …
159
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014455582
Saved in:
3
Compromise policy for multi-stage stochastic linear programming : variance and bias reduction
Xu, Jiajun
;
Sen, Survajeet
- In:
Computers & operations research : and their …
153
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014266356
Saved in:
4
Automatic adjoint differentiation for special functions involving expectations
Brito, José
;
Goloubentsev, Andrei
;
Goncharov, Evgeny
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 33-46
Persistent link: https://www.econbiz.de/10014487027
Saved in:
5
On the reliability estimation of stochastic binary systems
Cancela, Héctor
;
Murray, Leslie
;
Robledo, Franco
; …
- In:
International transactions in operational research : a …
29
(
2022
)
3
,
pp. 1688-1722
Persistent link: https://www.econbiz.de/10012795876
Saved in:
6
An analysis on the marketing budget of a newsvendor
Güler, Mehmet Güray
- In:
Operational research : an international journal
22
(
2022
)
3
,
pp. 2587-2603
Persistent link: https://www.econbiz.de/10013443658
Saved in:
7
Adaptive stochastic
variance
reduction
for subsampled Newton method with cubic regularization
Zhang, Junyu
;
Xiao, Lin
;
Zhang, Shuzhong
- In:
INFORMS journal on optimization
4
(
2022
)
1
,
pp. 45-64
Persistent link: https://www.econbiz.de/10013184948
Saved in:
8
JDOI
variance
reduction
method and the pricing of American-style options
Auster, Johan
;
Mathys, Ludovic
;
Maeder, Fabio
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
Saved in:
9
On the effective dimension and multilevel Monte Carlo
Kahalé, Nabil
- In:
Operations research letters
50
(
2022
)
4
,
pp. 415-421
Persistent link: https://www.econbiz.de/10013364126
Saved in:
10
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
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