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  • Search: subject:"quadratic resampling"
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Monte Carlo method 1 importance sampling 1 multidimensional contingent claims 1 option pricing 1 quadratic resampling 1
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Barraquand, Jèôme 1
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Management Science 1
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Numerical Valuation of High Dimensional Multivariate European Securities
Barraquand, Jèôme - In: Management Science 41 (1995) 12, pp. 1882-1891
. We introduce in particular the method of quadratic resampling (QR), a new powerful error reduction technique for Monte … Carlo simulation. Quadratic resampling can be efficiently combined with classical variance reduction methods such as …
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