Search Results - subject:"Variance Reduction"

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model

Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149

Persistent link: https://www.econbiz.de/10011689688

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10011778269

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215

Persistent link: https://www.econbiz.de/10011815225

Demand uncertainty reduction in decentralized supply chains

Li, Meng; Petruzzi, Nicholas C. - In: Production and operations management : an international … 26 (2017) 1, pp. 156-161

Persistent link: https://www.econbiz.de/10011649153

Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models

Chen, Ye; Yu, Jun - School of Economics, Singapore Management University - 2011

Maximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for suffering from a downward bias. The bias is more pronounced in the continuous time unit root model. Recently Chambers and Kyriacou (2010) introduced a new jackknife method to remove the...

Persistent link: https://www.econbiz.de/10009318890