Adaptive optimal allocation in stratified sampling methods

DOI10.1007/s11009-008-9108-0zbMath1208.65005arXiv0711.4514OpenAlexW1977790907MaRDI QIDQ708783

Pierre Étoré, Benjamin Jourdain

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.4514

zbMATH Keywords

numerical exampleBlack-Scholes modelfinancestratified samplingAsian optionsadaptive Monte Carlo methodsvariance reduction algorithm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of statistics to biology and medical sciences; meta analysis (62P10) Central limit and other weak theorems (60F05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (10)

Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Active Learning in Multi-armed Bandits ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Minimax number of strata for online stratified sampling: the case of noisy samples ⋮ Adaptive stratified Monte Carlo algorithm for numerical computation of integrals ⋮ Optimally stratified importance sampling for portfolio risk with multiple loss thresholds ⋮ Robust adaptive importance sampling for normal random vectors ⋮ CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION ⋮ Rare event simulation for electronic circuit design

Cites Work

• Controlled stratification for quantile estimation
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Adaptative Monte Carlo Method, A Variance Reduction Technique
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