On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

Levy Processes ◽

Financial Derivatives ◽

Sample Average ◽

Acceleration on Adaptive Importance Sampling with Sample Average Approximation

SIAM Journal on Scientific Computing ◽

10.1137/15m1047192 ◽

2017 ◽

Vol 39 (4) ◽

pp. A1586-A1615 ◽

Cited By ~ 2

Author(s):

Reiichiro Kawai

Keyword(s):

Importance Sampling ◽

Adaptive Importance Sampling ◽

Sample Average ◽

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Methodology And Computing In Applied Probability ◽

10.1007/s11009-017-9579-y ◽

2017 ◽

Vol 20 (2) ◽

pp. 611-641 ◽

Cited By ~ 4

Author(s):

Ahmed Kebaier ◽

Jérôme Lelong

Keyword(s):

Monte Carlo ◽

Importance Sampling ◽

Multilevel Monte Carlo ◽

Sample Average ◽

UNIFORM CONVERGENCE OF SAMPLE AVERAGE APPROXIMATION WITH ADAPTIVE MULTIPLE IMPORTANCE SAMPLING

2018 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2018.8632370 ◽

2018 ◽

Author(s):

M. Ben Feng ◽

Alvaro Maggiar ◽

Jeremy Staum ◽

Andreas Wachter

Keyword(s):

Uniform Convergence ◽

Importance Sampling ◽

Multiple Importance Sampling ◽

Sample Average ◽

Sample average approximation for the continuous type principal-agent problem

European Journal of Operational Research ◽

10.1016/j.ejor.2018.12.032 ◽

2019 ◽

Vol 275 (3) ◽

pp. 1050-1057 ◽

Cited By ~ 3

Author(s):

D.I. Singham

Keyword(s):

Principal Agent ◽

Continuous Type ◽

Sample Average ◽

Principal Agent Problem ◽

Sample average approximation approach to multi-location transshipment problem with capacitated production

Proceedings of the 2009 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2009.5429215 ◽

2009 ◽

Author(s):

Deniz Ozdemir ◽

Enver Yucesan ◽

Yale T. Herer

Keyword(s):

Approximation Approach ◽

Sample Average ◽

Importance sampling and statistical Romberg method for Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.12.008 ◽

2016 ◽

Vol 126 (7) ◽

pp. 1901-1931 ◽

Cited By ~ 1

Author(s):

Mohamed Ben Alaya ◽

Kaouther Hajji ◽

Ahmed Kebaier

Keyword(s):

Importance Sampling ◽

Lévy Processes ◽

Levy Processes

Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage

Numerical Algorithms ◽

10.1007/s11075-021-01110-z ◽

2021 ◽

Author(s):

Jie Jiang ◽

Hailin Sun ◽

Bin Zhou

Keyword(s):

Convergence Analysis ◽

Complementarity Problems ◽

Nonlinear Complementarity Problems ◽

Two Stage ◽

Nonlinear Complementarity ◽

Sample Average ◽

Redesign of supply chains for agricultural companies considering multiple scenarios by the methodology of sample average approximation

International Journal of Business Performance and Supply Chain Modelling ◽

10.1504/ijbpscm.2021.10037351 ◽

2021 ◽

Vol 12 (1) ◽

pp. 44

Author(s):

John Willmer Escobar ◽

Yujak Stiwar Vélez ◽

Julio Cesar Londoño ◽

Hernán Penagos Varela

Keyword(s):

Supply Chains ◽

Sample Average ◽

Average Approximation ◽

Multiple Scenarios

Two-phase sample average approximation for video distribution strategy of edge computing in heterogeneous network

Computer Communications ◽

10.1016/j.comcom.2021.11.007 ◽

2021 ◽

Author(s):

Jingfu Lu ◽

Jiuling Li

Keyword(s):

Heterogeneous Network ◽

Edge Computing ◽

Two Phase ◽

Distribution Strategy ◽

Video Distribution ◽

Sample Average ◽

Phase Sample ◽

Sample Average Approximation

Liner Ship Fleet Planning ◽

10.1016/b978-0-12-811502-2.00006-5 ◽

2017 ◽

pp. 75-84

Author(s):

Tingsong Wang ◽

Shuaian Wang ◽

Qiang Meng

Keyword(s):

Sample Average ◽