Adaptive Optimal Allocation in Stratified Sampling Methods
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DOI: 10.1007/s11009-008-9108-0
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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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Cited by:
- Corlay Sylvain & Pagès Gilles, 2015. "Functional quantization-based stratified sampling methods," Monte Carlo Methods and Applications, De Gruyter, vol. 21(1), pages 1-32, March.
- Kamlesh Kumar Pandey & Diwakar Shukla, 2022. "Stratified linear systematic sampling based clustering approach for detection of financial risk group by mining of big data," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(3), pages 1239-1253, June.
- Sayah, Toni, 2019. "Adaptive stratified Monte Carlo algorithm for numerical computation of integrals," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 157(C), pages 143-158.
- Sak, Halis & Başoğlu, İsmail, 2017. "Efficient randomized quasi-Monte Carlo methods for portfolio market risk," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 87-94.
- Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
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Keywords
Adaptive Monte Carlo methods; Stratified sampling; Finance;All these keywords.
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