## 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.

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 |
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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 | |

State | Published - 2009 |