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  • Search: subject:"large-scale least-squares problems"
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Year of publication
Subject
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Algorithm 1 Algorithmus 1 Kaczmarz algorithm 1 Kleinste-Quadrate-Methode 1 Least squares method 1 Monte Carlo 1 Monte Carlo simulation 1 Monte Carlo under budget constraints 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Optionspreistheorie 1 Sampling 1 Simulation 1 Stichprobenerhebung 1 large-scale least-squares problems 1 multi-asset options 1 variance reduction 1 weighted sampling 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Filipović, Damir 1 Glau, Kathrin 1 Nakatsukasa, Yuji 1 Statti, Francesco 1
Published in...
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 1
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Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Filipović, Damir; Glau, Kathrin; Nakatsukasa, Yuji; … - 2019
weighted sampling and the randomized extended Kaczmarz algorithm we obtain a new efficient approach to solve large-scale least-squares … problems. Our convergence and cost analysis along with numerical experiments show the effectiveness of the method in both low …
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