Appendix B – Variance Reduction Techniques

Juan Guillermo Lazo Lazo

doi:10.1007/978-3-540-93000-6_9

Appendix B – Variance Reduction Techniques

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

This appendix describes the variance reduction techniques used in this work.
Variance Reduction Techniques
Monte Carlo simulation is very commonly used for evaluating the expected value of a variable that is a function of several stochastic variables, which is a problem that cannot be treated analytically. In this context, one of the methods used for American option pricing is a combination of Monte Carlo simulation with dynamic programming.

Original language	English
Title of host publication	Studies in Computational Intelligence
Editors	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Place of Publication	Berlin, Heidelberg
Publisher	Springer
ISBN (Print)	9783540929994, 9783540930006
DOIs	https://doi.org/10.1007/978-3-540-93000-6_9
State	Published - 2009

Bibliographical note

Apéndice

Access to Document

10.1007/978-3-540-93000-6_9

Cite this

@inbook{f1f78e84f56c49d5b5d2b49a0a061f14,

title = "Appendix B – Variance Reduction Techniques",

abstract = "This appendix describes the variance reduction techniques used in this work.Variance Reduction TechniquesMonte Carlo simulation is very commonly used for evaluating the expected value of a variable that is a function of several stochastic variables, which is a problem that cannot be treated analytically. In this context, one of the methods used for American option pricing is a combination of Monte Carlo simulation with dynamic programming.",

author = "{Lazo Lazo}, {Juan Guillermo}",

note = "Ap{\'e}ndice",

year = "2009",

doi = "10.1007/978-3-540-93000-6_9",

language = "Ingl{\'e}s",

isbn = "9783540929994",

editor = "Pacheco, {Marco A. C.} and Vellasco, {Marley M. B. R.}",

booktitle = "Studies in Computational Intelligence",

publisher = "Springer",

}

TY - CHAP

T1 - Appendix B – Variance Reduction Techniques

AU - Lazo Lazo, Juan Guillermo

N1 - Apéndice

PY - 2009

Y1 - 2009

N2 - This appendix describes the variance reduction techniques used in this work.Variance Reduction TechniquesMonte Carlo simulation is very commonly used for evaluating the expected value of a variable that is a function of several stochastic variables, which is a problem that cannot be treated analytically. In this context, one of the methods used for American option pricing is a combination of Monte Carlo simulation with dynamic programming.

AB - This appendix describes the variance reduction techniques used in this work.Variance Reduction TechniquesMonte Carlo simulation is very commonly used for evaluating the expected value of a variable that is a function of several stochastic variables, which is a problem that cannot be treated analytically. In this context, one of the methods used for American option pricing is a combination of Monte Carlo simulation with dynamic programming.

U2 - 10.1007/978-3-540-93000-6_9

DO - 10.1007/978-3-540-93000-6_9

M3 - Capítulo de libro

SN - 9783540929994

SN - 9783540930006

BT - Studies in Computational Intelligence

A2 - Pacheco, Marco A. C.

A2 - Vellasco, Marley M. B. R.

PB - Springer

CY - Berlin, Heidelberg

ER -