Appendix C – Stochastic Processes

Juan Guillermo Lazo Lazo

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

Appendix C – Stochastic Processes

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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

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

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