Quantization based recursive importance sampling (Q4900335)
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scientific article; zbMATH DE number 6128723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantization based recursive importance sampling |
scientific article; zbMATH DE number 6128723 |
Statements
Quantization based recursive importance sampling (English)
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24 January 2013
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Monte Carlo simulation
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importance sampling
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stochastic approximation
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vector quantization
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functional quantification
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financial mathematics
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prices of options
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variance reductions
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algorithm
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Robbins-Monro procedure
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Newton-Raphson algorithm
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Voronoi tessellation
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convergence
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Brownian motion
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Brownian diffusion
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consistency
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basket option
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spark spread option
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Asian option
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Down \(\&\) In Call option
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Karhunen-Loève basis
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Haar basis
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