Search Results - subject:"control variates"

An expectile computation cookbook

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014326936

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

, Moment Matching and Control Variates. …

Persistent link: https://www.econbiz.de/10014327175

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

symmetric puts. Second, control variates should always be used and is the most efficient method. Furthermore, since control … variates is more effective for puts than calls, and since symmetric pricing already offers some variance reduction, we …

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

Indirect inference for time series using the empirical characteristic function and control variates

Davis, Richard A.; do Rêgo Sousa, Thiago; … - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 653-684

.i.d. simulated blocks. As a classical variance reduction technique, we propose the use of control variates for reducing the variance … good performance of these new simulation based estimators, and the superiority of the control variates based estimator for …

Persistent link: https://www.econbiz.de/10012621813

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

Unbiased deep solvers for linear parametric PDEs

Sabate Vidales, Marc; Siska, David; Szpruch, Łukasz - In: Applied mathematical finance 28 (2021) 4, pp. 299-329

Persistent link: https://www.econbiz.de/10013411699

Zero Variance Markov Chain Monte Carlo for Bayesian Estimators

Mira, Antonietta; Imparato, Daniele; Solgi, Reza - Facoltà di Economia, Università degli Studi dell'Insubria - 2011

Persistent link: https://www.econbiz.de/10008868145

Variance Reduction Techniques in Monte Carlo Methods

Kleijnen, Jack P.C.; Ridder, A.A.N.; Rubinstein, R.Y. - Tilburg University, Center for Economic Research - 2010

Monte Carlo methods are simulation algorithms to estimate a numerical quantity in a statistical model of a real system. These algorithms are executed by computer programs. Variance reduction techniques (VRT) are needed, even though computer speed has been increasing dramatically, ever since the...

Persistent link: https://www.econbiz.de/10011092194

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael C. - 1999

In this paper, control variates are proposed to speed up Monte Carlo Simulations to estimate expected error rates in …

Persistent link: https://www.econbiz.de/10010316538

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael C. - Institut für Wirtschafts- und Sozialstatistik, … - 1999

In this paper, control variates are proposed to speed up Monte Carlo Simulations to estimate expected error rates in …

Persistent link: https://www.econbiz.de/10010982366