Search Results - subject:"Control variate"

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021

Persistent link: https://www.econbiz.de/10012616192

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

Persistent link: https://www.econbiz.de/10012813680

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022

Persistent link: https://www.econbiz.de/10013335002

Comonotonic Monte Carlo and its applications in option pricing and quantification of risk

Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

the comonotonic approximation as a control variate we get more accurate estimates and hence the simulation is less time …

Persistent link: https://www.econbiz.de/10011194455

Pricing Asian power options under jump-fraction process

Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 17 (2012) 33, pp. 2-9

evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming …

Persistent link: https://www.econbiz.de/10011859334

Pricing Asian power options under jump-fraction process

Peng, Bin; Peng, Fei - In: Journal of economics, finance & administrative science 17 (2012) 33, pp. 2-9

evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming …

Persistent link: https://www.econbiz.de/10011871404

Improved algorithms for rare event simulation with heavy tails

Asmussen, Søren; Kroese, Dirk P. - 2006

The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...

Persistent link: https://www.econbiz.de/10009448797

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps

Chiarella, Carl; Nikitopoulos-Sklibosios, Christina; … - Finance Discipline Group, Business School - 2005

solutions are generally not possible. In doing so, we provide a novel perspective on the control variate methods by going …). Closed form solutions for the price of a bond option under deterministic volatility specifications are derived and a control … variate numerical method is developed under a more general state dependent volatility structure, a case in which closed form …

Persistent link: https://www.econbiz.de/10004984560

Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models

Leisen, Dietmar - University of Bonn, Germany - 1996

study the Control Variate technique introduced by Hull and White[88]. Since the investigation reveals the need for smooth …

Persistent link: https://www.econbiz.de/10004968298