Functional quantization-based stratified sampling methods (Q2260450)
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scientific article; zbMATH DE number 6413368
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Functional quantization-based stratified sampling methods |
scientific article; zbMATH DE number 6413368 |
Statements
Functional quantization-based stratified sampling methods (English)
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10 March 2015
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functional quantization
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vector quantization
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stratification
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variance reduction
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Monte Carlo simulation
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Karhunen-Loève
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Gaussian process
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Brownian motion
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Brownian bridge
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Ornstein-Uhlenbeck process
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Ornstein-Uhlenbeck bridge
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principal component analysis
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numerical integration
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option pricing
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Voronoi diagram
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product quantizer
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path-dependent option
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algorithm
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0.87536013
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0.87015414
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0.86049473
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0.8598382
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0.8589053
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0.8585361
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0.85440195
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0.8522808
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0.8500865
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