Adaptive optimal allocation in stratified sampling methods (Q708783): Difference between revisions
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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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Revision as of 07:44, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive optimal allocation in stratified sampling methods |
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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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