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Regression-Based Complexity Reduction of the Nested Monte Carlo Methods - MaRDI portal

Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (Q4579837)

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scientific article; zbMATH DE number 6915873
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Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
scientific article; zbMATH DE number 6915873

    Statements

    title
    Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (English)
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    author
    Denis Belomestny
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    Stefan Häfner
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    Mikhail A. Urusov
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    publication date
    10 August 2018
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    zbMATH Keywords
    Bermudan options
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    Monte Carlo methods
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    nested simulations
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    control variates
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    regression methods
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    Identifiers

    DOI
    10.1137/17M114577X
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    60G40
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    zbMATH DE Number
    6915873
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    arXiv ID
    1611.06344
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