Search Results - subject:"Control variate method"

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

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

Control variate method for stationary processes

Amano, Tomoyuki; Taniguchi, Masanobu - In: Journal of Econometrics 165 (2011) 1, pp. 20-29

distributed sample. However, if some control variate is available, it is known that the control variate method reduces the … variance of the sample mean. The control variate method often assumes that the variable of interest and the control variable ….e. dependent. Then we propose an estimator of the mean of the stationary process of interest by using control variate method based on …

Persistent link: https://www.econbiz.de/10011052330

A smooth estimator for MC/QMC methods in finance

Han, Chuan-Hsiang; Lai, Yongzeng - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 536-550

, the efficiency of the martingale control variate method decreases. We propose an importance sampling method which performs …

Persistent link: https://www.econbiz.de/10010750228

Monte Carlo applied to exotic digital options

Vaugirard, Victor - In: Applied Mathematical Finance 8 (2001) 3, pp. 183-196

This paper tailors Monte Carlo simulations to the scope of binary options whose underlying dynamics obey jump-diffusion or jump-mean-reverting processes and may not be traded. In the process, the existence of well-defined arbitrage prices is justified notwithstanding a framework of incomplete...

Persistent link: https://www.econbiz.de/10005639865