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Convenient multiple directions of stratification
Jourdain, Benjamin; Lapeyre, Bernard; Sabino, Piergiacomo - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 867-897
Persistent link: https://www.econbiz.de/10009380998
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Randomized dimension reduction for Monte Carlo simulations
Kahalé, Nabil - In: Management science : journal of the Institute for … 66 (2020) 3, pp. 1421-1439
Persistent link: https://www.econbiz.de/10012234611
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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
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Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436
Persistent link: https://www.econbiz.de/10010239518
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan; Pakkanen, Mikko S. - In: Quantitative finance 18 (2018) 11, pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction
Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13
Persistent link: https://www.econbiz.de/10011814902
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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621
Persistent link: https://www.econbiz.de/10012120139
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Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
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Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods
Van der Merwe, Carel Johannes - 2010
ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...
Persistent link: https://www.econbiz.de/10009442047