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Latest revision as of 16:57, 7 June 2024

scientific article; zbMATH DE number 2124458
Language Label Description Also known as
English
Adaptative Monte Carlo Method, A Variance Reduction Technique
scientific article; zbMATH DE number 2124458

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    Adaptative Monte Carlo Method, A Variance Reduction Technique (English)
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    3 January 2005
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    Monte-Carlo methods
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    variance reduction
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    importance sampling
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    Robbins-Monro algorithms
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    martingales
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    Chen projection method
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    Black-Scholes model
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    Cir model
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    Heston model.
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