Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
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DOI: 10.1515/mcma.2007.010
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- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152, April.
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