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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

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

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

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

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

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

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

Latin hypercube sampling with dependence and applications in finance

Packham, Natalie; Schmidt, Wolfgang M. - 2008

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random...

Persistent link: https://www.econbiz.de/10010301705

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552

Persistent link: https://www.econbiz.de/10011490623

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