Adaptative Monte Carlo Method, A Variance Reduction Technique

DOI10.1515/156939604323091180zbMath1063.65003OpenAlexW2065756054WikidataQ56443051 ScholiaQ56443051MaRDI QIDQ4831807

Bouhari Arouna

Publication date: 3 January 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939604323091180

zbMATH Keywords

importance samplingmartingalesBlack-Scholes modelvariance reductionMonte-Carlo methodsRobbins-Monro algorithmsChen projection methodCir modelHeston model.

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Reliability, availability, maintenance, inspection in operations research (90B25) Reliability and life testing (62N05)

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Cites Work

• Necessary and sufficient conditions for the Robbins-Monro method
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• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Stochastic Models in Reliability
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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