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Preliminary control variates to improve empirical regression methods

Author

Listed:
  • Ben Zineb Tarik

    (Centre de Mathématiques Appliquées, Ecole Polytechnique and CNRS, 91128 Palaiseau Cedex, France)

  • Gobet Emmanuel

    (Centre de Mathématiques Appliquées, Ecole Polytechnique and CNRS, 91128 Palaiseau Cedex, France)

Abstract

We design a variance reduction method to reduce the estimation error in regression problems. It is based on an appropriate use of other known regression functions. Theoretical estimates are supporting this improvement and numerical experiments are illustrating the efficiency of the method.

Suggested Citation

  • Ben Zineb Tarik & Gobet Emmanuel, 2013. "Preliminary control variates to improve empirical regression methods," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 331-354, December.
    • Handle: RePEc:bpj:mcmeap:v:19:y:2013:i:4:p:331-354:n:4
    DOI: 10.1515/mcma-2013-0015
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    References listed on IDEAS

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    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
    2. repec:dau:papers:123456789/4273 is not listed on IDEAS
    3. Christophe Barrera-Esteve & Florent Bergeret & Charles Dossal & Emmanuel Gobet & Asma Meziou & Rémi Munos & Damien Reboul-Salze, 2006. "Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach," Methodology and Computing in Applied Probability, Springer, vol. 8(4), pages 517-540, December.
    4. René Aïd & Luciano Campi & Nicolas Langrené & Huyên Pham, 2012. "A probabilistic numerical method for optimal multiple switching problems in high dimension," Working Papers hal-00747229, HAL.
    5. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
    6. Ren'e Aid & Luciano Campi & Nicolas Langren'e & Huy^en Pham, 2012. "A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation," Papers 1210.8175, arXiv.org.
    7. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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    Cited by:

    1. Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.

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