A framework for adaptive Monte Carlo procedures
Author
Abstract
Suggested Citation
DOI: 10.1515/mcma.2011.002
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Lelong, Jérôme, 2008. "Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2632-2636, November.
- Sujin Kim & Shane G. Henderson, 2007. "Adaptive Control Variates for Finite-Horizon Simulation," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 508-527, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Frikha Noufel & Sagna Abass, 2012. "Quantization based recursive importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 287-326, December.
- Bernard Lapeyre & J'er^ome Lelong, 2010. "A framework for adaptive Monte-Carlo procedures," Papers 1001.3551, arXiv.org, revised Jul 2010.
- Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
- Ahmed Kebaier & J'er^ome Lelong, 2015. "Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation," Papers 1510.03590, arXiv.org, revised Jul 2017.
- Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
- Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
- Reiichiro Kawai, 2008. "Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 199-223, June.
- Jérôme Lelong & Zineb El Filali Ech-Chafiq & Adil Reghai, 2021. "Automatic Control Variates for Option Pricing using Neural Networks," Post-Print hal-02891798, HAL.
- Hejin Wang & Zhan Zheng, 2024. "Randomly Shifted Lattice Rules with Importance Sampling and Applications," Mathematics, MDPI, vol. 12(5), pages 1-20, February.
- Christophe Michel & Victor Reutenauer & Denis Talay & Etienne Tanr'e, 2015. "Liquidity costs: a new numerical methodology and an empirical study," Papers 1501.07404, arXiv.org, revised Dec 2015.
- Laetitia Badouraly Kassim & J'er^ome Lelong & Imane Loumrhari, 2013. "Importance sampling for jump processes and applications to finance," Papers 1307.2218, arXiv.org.
- Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
- Asmussen, Søren & Fuckerieder, Pascal & Jobmann, Manfred & Schwefel, Hans-Peter, 2002. "Large deviations and fast simulation in the presence of boundaries," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 1-23, November.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2000. "Variance Reduction Techniques for Estimating Value-at-Risk," Management Science, INFORMS, vol. 46(10), pages 1349-1364, October.
- Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 261-295, September.
- Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
- Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
- Adam W. Kolkiewicz, 2016. "Efficient Hedging Of Path–Dependent Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-27, August.
- dos Reis, Gonçalo & Smith, Greig & Tankov, Peter, 2023. "Importance sampling for McKean-Vlasov SDEs," Applied Mathematics and Computation, Elsevier, vol. 453(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:17:y:2011:i:1:p:77-98:n:2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.