A framework for adaptive Monte Carlo procedures (Q3168631)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A framework for adaptive Monte Carlo procedures |
scientific article |
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A framework for adaptive Monte Carlo procedures (English)
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19 April 2011
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expectation with free parameter
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importance sampling
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stochastic approximation
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variance reduction
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Monte Carlo methods
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adaptive algorithm
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central limit theorem
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Brownian motion
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local volatility model
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risk neutral measure
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convergence
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numerical experiments
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basket options
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