Importance sampling and statistical Romberg method (Q888470)
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scientific article; zbMATH DE number 6502613
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Importance sampling and statistical Romberg method |
scientific article; zbMATH DE number 6502613 |
Statements
Importance sampling and statistical Romberg method (English)
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30 October 2015
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importance sampling
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statistical Romberg method
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stochastic algorithm
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central limit theorem
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almost sure convergence
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Monte Carlo simulations
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Euler scheme
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Heston model
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variance reduction
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0.8216584324836731
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0.8020815849304199
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0.7989155054092407
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0.7939473986625671
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0.7909247279167175
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