Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
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Publication:5087735
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- A Smoothed Perturbation Analysis of Parisian Options
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
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- Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
- Integrated Variance Reduction Strategies for Simulation
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- Monte Carlo and quasi-Monte Carlo sampling
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- Monte Carlo methods for security pricing
- Multivariate density estimation. Theory, practice, and visualization
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- On figures of merit for randomly-shifted lattice rules
- On the Convergence Rates of IPA and FDC Derivative Estimators
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- Quasi-Monte Carlo methods with applications in finance
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Cited in
(11)- Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
- Conditional quasi-Monte Carlo with constrained active subspaces
- Numerical approximation of conditional asymptotic variances using Monte Carlo simulation
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- Durbin's random substitution and conditional Monte Carlo
- Conditional Monte Carlo revisited
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- A note on Monte Carlo maximization by the density ratio model
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
- Density Estimation by Monte Carlo and Quasi-Monte Carlo
- Sufficient conditions for fast quasi-Monte Carlo convergence
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