Appendix C – Stochastic Processes

Producción científica: Capítulo del libro/informe/acta de congresoCapítulo de librorevisión exhaustiva


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 originalInglés
Título de la publicación alojadaStudies in Computational Intelligence
EditoresMarco A. C. Pacheco, Marley M. B. R. Vellasco
Lugar de publicaciónBerlin, Heidelberg
EstadoPublicada - 2009

Citar esto