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Stratified regression-based variance reduction approach for weak approximation schemes

Author

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  • Belomestny, D.
  • Häfner, S.
  • Urusov, M.

Abstract

In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. [1]. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.

Suggested Citation

  • Belomestny, D. & Häfner, S. & Urusov, M., 2018. "Stratified regression-based variance reduction approach for weak approximation schemes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 143(C), pages 125-137.
    • Handle: RePEc:eee:matcom:v:143:y:2018:i:c:p:125-137
    DOI: 10.1016/j.matcom.2017.05.003
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    References listed on IDEAS

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    1. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
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    Cited by:

    1. 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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