Adaptive optimal allocation in stratified sampling methods (Q708783)

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Adaptive optimal allocation in stratified sampling methods
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    Adaptive optimal allocation in stratified sampling methods (English)
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    14 October 2010
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    An adaptive of a variance reduction algorithm of a random proportion of stratified sampling is designed. The distribution is shown to be asymptotically normal with minimum variance. A numerical example for Asian options in the Black-Scholes model is verified to show the efficiency of this algorithm.
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    adaptive Monte Carlo methods
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    stratified sampling
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    finance
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    variance reduction algorithm
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    numerical example
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    Asian options
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    Black-Scholes model
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