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Search: subject:"Control variate"
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Control variate
17
Monte Carlo simulation
17
Option pricing theory
16
Optionspreistheorie
16
Stochastic process
13
Monte-Carlo-Simulation
12
Stochastischer Prozess
12
Option trading
8
Optionsgeschäft
8
control variate
7
Control variate method
6
Option pricing
6
Asymptotic expansion
5
Derivat
5
Derivative
5
Estimation theory
5
Schätztheorie
5
Analysis
4
Deep BSDE solver
4
Deep learning
4
Mathematical analysis
4
Arithmetic average
3
Asian power option
3
Backward stochastic differential equations
3
Geometric average
3
Jump-fraction process
3
Monte Carlo
3
Semilinear partial differential equations
3
Variance reduction
3
Characteristic function
2
Control variate methods
2
Exchange option
2
Fourier inversion
2
HJM model
2
Parisian options
2
Spread option
2
adaptive control variate
2
bond option prices
2
discrete monitoring
2
early exercise
2
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Undetermined
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9
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Article
33
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21
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19
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Hörmann, Wolfgang
4
Takahashi, Akihiko
4
Tsuchida, Yoshifumi
4
Dingeç, Kemal Dinçer
3
Lai, Yongzeng
3
Peng, Bin
3
Peng, Fei
3
Shiraya, Kenichiro
3
Yamada, Toshihiro
3
Bernard, Carole
2
Caldana, Ruggero
2
Chiarella, Carl
2
Fusai, Gianluca
2
Li, Lin
2
Schlogl, Erik
2
Yamazaki, Akira
2
Amano, Tomoyuki
1
Asmussen, Søren
1
Boyle, Phelim
1
Boyle, Phelim P.
1
C. C. Heyde
1
Chateauneuf, Alain
1
Chen, Yu-Ting
1
Chiu, Chun-Yuan
1
Dai, Tian-Shyr
1
Duan, Jin-Chuan
1
Gauthier, Geneviève
1
Gűr, Sercan
1
HAASTRECHT, ALEXANDER VAN
1
Han, Chuan-Hsiang
1
Jia, Jiayi
1
Kamizono, Kenji
1
Kariya, Takeaki
1
Kim, Kyoo Il
1
Kroese, Dirk P.
1
Kyriakou, Ioannis
1
Lee, Roger
1
Leisen, Dietmar
1
Lindset, Snorre
1
Liu, Liang-Chih
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Berkeley Electronic Press
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1
Finance Discipline Group, Business School
1
University of Bonn, Germany
1
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Mathematics and Computers in Simulation (MATCOM)
4
Applied Mathematical Finance
2
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European journal of operational research : EJOR
2
Journal of Economics, Finance and Administrative Science
2
The European Journal of Finance
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The North American journal of economics and finance : a journal of financial economics studies
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Annals of Finance
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Asia Pacific financial markets
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European Journal of Operational Research
1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
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Insurance: Mathematics and Economics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
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Johns Hopkins University Dept. of Biostatistics Working Paper Series
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Journal of Banking & Finance
1
Journal of Econometrics
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The European journal of finance
1
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1
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RePEc
21
ECONIS (ZBW)
17
BASE
1
EconStor
1
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Control
variate
method for deep BSDE solver using weak approximation
Tsuchida, Yoshifumi
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 273-296
Persistent link: https://www.econbiz.de/10014342288
Saved in:
5
A general
control
variate
method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro
;
Wang, Cong
;
Yamazaki, Akira
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
Saved in:
6
Option pricing with the
control
variate
technique beyond Monte Carlo simulation
Chiu, Chun-Yuan
;
Dai, Tian-Shyr
;
Lyuu, Yuh-dauh
;
Liu, …
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013539074
Saved in:
7
A general
control
variate
method for Lévy models in finance
Shiraya, Kenichiro
;
Uenishi, Hiroki
;
Yamazaki, Akira
- In:
European journal of operational research : EJOR
284
(
2020
)
3
,
pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
Saved in:
8
An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
Gűr, Sercan
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012295871
Saved in:
9
Exotic options pricing under special Lévy process models : a biased
control
variate
method approach
Jia, Jiayi
;
Lai, Yongzeng
;
Li, Lin
;
Tan, Vinna
- In:
Finance research letters
34
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Saved in:
10
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
Saved in:
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