Adaptive optimal allocation in stratified sampling methods (Q708783)
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scientific article; zbMATH DE number 5800275
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| English | Adaptive optimal allocation in stratified sampling methods |
scientific article; zbMATH DE number 5800275 |
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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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0.8951708674430847
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0.8657976984977722
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0.7996184229850769
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0.7889404892921448
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0.7701572775840759
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