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Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian - 2011
Persistent link: https://www.econbiz.de/10010204985
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Efficient estimation of distance-dependent metrics in edge-failing networks
Cancela, Héctor; Robledo, Franco; Rubino, Gerardo; … - In: International transactions in operational research : … 21 (2014) 2, pp. 199-213
Persistent link: https://www.econbiz.de/10010256683
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A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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The effectiveness of international diversification : whole markets versus sectors
Moosa, Imad A.; Tawadros, George B.; Hallahan, Terry A. - In: Applied economics 47 (2015) 4/6, pp. 614-622
Persistent link: https://www.econbiz.de/10010464738
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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
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Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377
Persistent link: https://www.econbiz.de/10011291297
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Improved regression inference using a second overlapping regression model
Peng, Liang; Einmahl, John H. J. - 2021
Persistent link: https://www.econbiz.de/10012653552
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An effective hybrid variance reduction method for pricing the Asian options and its variants
Lu, King-Jeng; Liang, Chiung-Ju; Hsieh, Ming-Hua; Lee, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012659091
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Calibration of distributionally roubust empirical optimization models
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B. - In: Operations research 69 (2021) 5, pp. 1630-1650
Persistent link: https://www.econbiz.de/10012661084
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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