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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
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Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks
Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021
Persistent link: https://www.econbiz.de/10012599478
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An improved averaged two-replication procedure with Latin hypercube sampling
Bayraksan, Güzin - In: Operations research letters 46 (2018) 2, pp. 173-178
Persistent link: https://www.econbiz.de/10011824808
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Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan - In: The journal of computational finance 25 (2022) 4, pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
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Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey - In: The journal of computational finance 19 (2016) 3, pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
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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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Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
Wnuk, Marcin; Gnewuch, Michael - In: Operations research letters 48 (2020) 4, pp. 410-414
Persistent link: https://www.econbiz.de/10012294754
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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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Randomized smoothing variance reduction method for large-scale non-smooth convex optimization
Huang, Wenjie; Zhang, Xun - In: Operations research forum 2 (2021) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012589765
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225