Appendix B – Variance Reduction Techniques

Juan Guillermo Lazo Lazo

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

Appendix B – Variance Reduction Techniques

Juan Guillermo Lazo Lazo

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
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

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