Quantization based recursive importance sampling

DOI10.1515/mcma-2012-0011zbMath1272.65004arXiv1109.4041OpenAlexW2115491369MaRDI QIDQ4900335

Noufel Frikha, Abass Sagna

Publication date: 24 January 2013

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

Full work available at URL: https://arxiv.org/abs/1109.4041

zbMATH Keywords

algorithmconvergenceconsistencyimportance samplingstochastic approximationBrownian motionMonte Carlo simulationvector quantizationAsian optionNewton-Raphson algorithmVoronoi tessellationfinancial mathematicsRobbins-Monro procedureHaar basisBrownian diffusionbasket optionprices of optionsfunctional quantificationKarhunen-Loève basisvariance reductionsDown \(\&\) In Call optionspark spread option

Mathematics Subject Classification ID

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