Regression-based complexity reduction of the nested Monte Carlo methods (Q4579837)
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scientific article; zbMATH DE number 6915873
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| English | Regression-based complexity reduction of the nested Monte Carlo methods |
scientific article; zbMATH DE number 6915873 |
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Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (English)
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10 August 2018
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Bermudan options
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Monte Carlo methods
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nested simulations
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control variates
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regression methods
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0.854835033416748
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0.807145357131958
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0.8023359775543213
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