Adaptive optimal allocation in stratified sampling methods (Q708783): Difference between revisions
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| Property / DOI | |||
| Property / DOI: 10.1007/s11009-008-9108-0 / rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Gong Guanglu / rank | |||
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| Property / reviewed by: Gong Guanglu / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / OpenAlex ID: W1977790907 / rank | |||
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| Property / arXiv ID: 0711.4514 / rank | |||
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| Property / cites work: Adaptative Monte Carlo Method, A Variance Reduction Technique / rank | |||
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| Property / cites work: Controlled stratification for quantile estimation / rank | |||
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| Property / cites work: Q4433608 / rank | |||
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| Property / cites work: Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options / rank | |||
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| Property / cites work | |||
| Property / cites work: Q4437143 / rank | |||
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| Property / DOI: 10.1007/S11009-008-9108-0 / rank | |||
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| links / mardi / name | links / mardi / name | ||
Latest revision as of 01:25, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive optimal allocation in stratified sampling methods |
scientific article |
Statements
Adaptive optimal allocation in stratified sampling methods (English)
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14 October 2010
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An adaptive of a variance reduction algorithm of a random proportion of stratified sampling is designed. The distribution is shown to be asymptotically normal with minimum variance. A numerical example for Asian options in the Black-Scholes model is verified to show the efficiency of this algorithm.
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adaptive Monte Carlo methods
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stratified sampling
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finance
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variance reduction algorithm
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numerical example
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Asian options
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Black-Scholes model
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