Appendix C – Stochastic Processes

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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 languageEnglish
Title of host publicationStudies in Computational Intelligence
EditorsMarco A. C. Pacheco, Marley M. B. R. Vellasco
Place of PublicationBerlin, Heidelberg
PublisherSpringer
ISBN (Print)9783540929994, 9783540930006
DOIs
StatePublished - 2009

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