A general method for debiasing a Monte Carlo estimator (Q5388196): Difference between revisions
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| Property / DOI: 10.1515/mcma.2011.013 / rank | |||
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| Property / cites work: Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes / rank | |||
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| Property / cites work: Multilevel Monte Carlo Path Simulation / rank | |||
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Latest revision as of 16:52, 30 December 2024
scientific article; zbMATH DE number 6025261
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general method for debiasing a Monte Carlo estimator |
scientific article; zbMATH DE number 6025261 |
Statements
A general method for debiasing a Monte Carlo estimator (English)
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18 April 2012
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Monte Carlo simulation
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Markov chain Monte Carlo
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unbiased estimates
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numerical integration
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finance
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stochastic volatility model
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option pricing
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Newton's method
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stochastic integral
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