On the Optimization of Approximate Control Variates with Parametrically Defined Estimators

Journal of Computational Physics ◽

10.1016/j.jcp.2021.110882 ◽

2021 ◽

pp. 110882

Author(s):

G.F. Bomarito ◽

P.E. Leser ◽

J.E. Warner ◽

W.P. Leser

Keyword(s):

Control Variates ◽

Approximate Control

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Control Variates for Callable LIBOR Exotics - A Preliminary Study

SSRN Electronic Journal ◽

10.2139/ssrn.1288686 ◽

2007 ◽

Author(s):

Jacob Buitelaar ◽

Roger Lord

Keyword(s):

Control Variates ◽

Preliminary Study

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American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Quantitative Finance ◽

10.1080/14697688.2015.1068443 ◽

2015 ◽

Vol 16 (1) ◽

pp. 17-30 ◽

Author(s):

Ankush Agarwal ◽

Sandeep Juneja ◽

Ronnie Sircar

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Control Variates ◽

Multiscale Asymptotics

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Control variates for stochastic network simulation

1990 Winter Simulation Conference Proceedings ◽

10.1109/wsc.1990.129535 ◽

2002 ◽

Author(s):

T.N. Avramidis ◽

J.R. Wilson

Keyword(s):

Network Simulation ◽

Stochastic Network ◽

Control Variates

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American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

SSRN Electronic Journal ◽

10.2139/ssrn.2520639 ◽

2014 ◽

Author(s):

Ankush Agarwal ◽

Sandeep Juneja ◽

Ronnie Sircar

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Control Variates ◽

Multiscale Asymptotics

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Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments

Management Science ◽

10.1287/mnsc.40.8.1021 ◽

1994 ◽

Vol 40 (8) ◽

pp. 1021-1034 ◽

Author(s):

Chimyung Kwon ◽

Jeffrey D. Tew

Keyword(s):

Simulation Experiments ◽

Control Variates ◽

Antithetic Variates ◽

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Estimation of nonlinear simulation metamodels using control variates

Journal of Statistical Computation and Simulation ◽

10.1080/00949650412331299201 ◽

2005 ◽

Vol 75 (12) ◽

pp. 959-973 ◽

Author(s):

M. Isabel Reis Santos ◽

Acácio M. O. Porta Nova

Keyword(s):

Control Variates ◽

Nonlinear Simulation

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Implementing Control Variates

Implementing Models of Financial Derivatives ◽

10.1002/9781119206149.ch21 ◽

2015 ◽

pp. 333-344

Keyword(s):

Control Variates

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Implementation of FPGA based fuzzy PI approximate control for automatic cruise control system

International Conference on Circuits, Communication, Control and Computing ◽

10.1109/cimca.2014.7057790 ◽

2014 ◽

Author(s):

Pallab Maji ◽

Sarat Kumar Patra ◽

Kamalakanta Mahapatra

Keyword(s):

Control System ◽

Cruise Control ◽

Cruise Control System ◽

Approximate Control

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The optimal linear combination of control variates in the presence of asymptotically negligible bias

Naval Research Logistics (NRL) ◽

10.1002/1520-6750(198910)36:5<683::aid-nav3220360512>3.0.co;2-l ◽

1989 ◽

Vol 36 (5) ◽

pp. 683-692 ◽

Author(s):

Peter W. Glynn ◽

Donald L. Iglehart

Keyword(s):

Linear Combination ◽

Control Variates ◽

Optimal Linear Combination ◽

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Electromagnetic gyrokinetic PIC simulation with an adjustable control variates method

Journal of Computational Physics ◽

10.1016/j.jcp.2006.12.019 ◽

2007 ◽

Vol 225 (1) ◽

pp. 568-590 ◽

Author(s):

R. Hatzky ◽

A. Könies ◽

A. Mishchenko

Keyword(s):

Control Variates ◽

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