Adaptative Monte Carlo Method, A Variance Reduction Technique (Q4831807)
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scientific article; zbMATH DE number 2124458
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptative Monte Carlo Method, A Variance Reduction Technique |
scientific article; zbMATH DE number 2124458 |
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Adaptative Monte Carlo Method, A Variance Reduction Technique (English)
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3 January 2005
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Monte-Carlo methods
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variance reduction
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importance sampling
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Robbins-Monro algorithms
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martingales
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Chen projection method
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Black-Scholes model
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Cir model
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Heston model.
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