CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

DOI10.1142/S0219024911006772zbMath1282.91376arXiv1004.5037OpenAlexW2152957116MaRDI QIDQ3100993

Benjamin Jourdain, Bernard Lapeyre, Piergiacomo Sabino

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.5037

zbMATH Keywords

Monte Carlo methodsvariance reductionstratification methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Cites Work

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• Implementing quasi-Monte Carlo simulations with linear transformations
• Adaptive optimal allocation in stratified sampling methods
• Robust adaptive importance sampling for normal random vectors
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options

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