Stratified regression-based variance reduction approach for weak approximation schemes
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DOI: 10.1016/j.matcom.2017.05.003
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References listed on IDEAS
- David Heath & Eckhard Platen, 2002.
"A variance reduction technique based on integral representations,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
- David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Marc Sabate Vidales & David Siska & Lukasz Szpruch, 2018. "Unbiased deep solvers for linear parametric PDEs," Papers 1810.05094, arXiv.org, revised Jan 2022.
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Keywords
Control variates; Stratification; Monte Carlo methods; Weak schemes; Regression;All these keywords.
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