Importance sampling and statistical Romberg method (Q888470)

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Importance sampling and statistical Romberg method
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    Importance sampling and statistical Romberg method (English)
    30 October 2015
    importance sampling
    statistical Romberg method
    stochastic algorithm
    central limit theorem
    almost sure convergence
    Monte Carlo simulations
    Euler scheme
    Heston model
    variance reduction

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