Appendix C – Stochastic Processes

Juan Guillermo Lazo Lazo

doi:10.1007/978-3-540-93000-6_10

Appendix C – Stochastic Processes

Producción científica: Capítulo del libro/informe/acta de congreso › Capítulo de libro › revisión exhaustiva

Resumen

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.

Idioma original	Inglés
Título de la publicación alojada	Studies in Computational Intelligence
Editores	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Lugar de publicación	Berlin, Heidelberg
DOI	https://doi.org/10.1007/978-3-540-93000-6_10
Estado	Publicada - 2009

Acceder al documento

10.1007/978-3-540-93000-6_10

Citar esto

@inbook{b99681ce8e2a45e2bb13c770519515d6,

title = "Appendix C – Stochastic Processes",

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}",

year = "2009",

doi = "10.1007/978-3-540-93000-6_10",

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

isbn = "9783540929994",

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

booktitle = "Studies in Computational Intelligence",

}

TY - CHAP

T1 - Appendix C – Stochastic Processes

AU - Lazo Lazo, Juan Guillermo

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_10

DO - 10.1007/978-3-540-93000-6_10

M3 - Capítulo de libro

SN - 9783540929994

SN - 9783540930006

BT - Studies in Computational Intelligence

A2 - Pacheco, Marco A. C.

A2 - Vellasco, Marley M. B. R.

CY - Berlin, Heidelberg

ER -