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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 … examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is …

Persistent link: https://www.econbiz.de/10011293923

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

Valuing American options by least-squares randomized quasi-Monte Carlo methods

Wu, Xin-Yu; Zhou, Hai-Lin; Wang, Shouyang - In: Journal of financial engineering 1 (2014) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10010508081

Nested Monte Carlo simulation in financial reporting : a review and a new hybrid approach

Li, Peng; Feng, Runhuan - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 744-778

Persistent link: https://www.econbiz.de/10012653687

Efficient propagation of uncertainties in manufacturing supply chains: time buckets, L-leap, and multilevel Monte Carlo methods

Chiang, Nai-Yuan; Lin, Yiqing; Long, Quan - In: Operations research perspectives 7 (2020), pp. 1-15

Uncertainty propagation of large-scale discrete supply chains can be prohibitive when numerous events occur during the simulated period and when discrete-event simulations (DES) are costly. We present a time-bucket method to approximate and accelerate the DES of supply chains. Its stochastic...

Persistent link: https://www.econbiz.de/10012198079