In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction … technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD …

We provide a detailed importance sampling analysis for variance reduction in stochastic volatility models. The optimal …

programming languages (Python, Matlab and R), are: Latin Hypercube, Stratified Sampling, Antithetic Variables, Importance Sampling …

Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance … processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We … formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing …