Publication:3656690
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zbMath1181.91336MaRDI QIDQ3656690
Publication date: 13 January 2010
stratification; importance sampling; control variates; variance reduction techniques; sample average optimisation
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
90C15: Stochastic programming
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G20: Derivative securities (option pricing, hedging, etc.)
91-08: Computational methods for problems pertaining to game theory, economics, and finance
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