Search Results - subject:"antithetic sampling"

Efficient variance reduction for American call options using symmetry arguments

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-21

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the...

Persistent link: https://www.econbiz.de/10013201188

Efficient variance reduction for American call options using symmetry arguments

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21

Persistent link: https://www.econbiz.de/10012794352

Variance reduction techniques in stochastic shortest route analysis: application procedures and results

Grant, Floyd H.; Solberg, James J. - In: Mathematics and Computers in Simulation (MATCOM) 25 (1983) 4, pp. 366-375

development of application procedures for three variance reduction techniques: antithetic sampling, control variates, and … variance reduction techniques investigated work well. Antithetic sampling was found to be far superior to the other techniques …

Persistent link: https://www.econbiz.de/10010749750