A general method for debiasing a Monte Carlo estimator
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Publication:5388196
DOI10.1515/MCMA.2011.013zbMath1238.65004arXiv1005.2228OpenAlexW2963271690MaRDI QIDQ5388196
Publication date: 18 April 2012
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.2228
numerical integrationNewton's methodoption pricingMarkov chain Monte CarloMonte Carlo simulationfinancestochastic integralstochastic volatility modelunbiased estimates
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic integrals (60H05)
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