Variance reduction techniques for pricing American options using function approximations

The Journal of Computational Finance ◽

10.21314/jcf.2009.208 ◽

2009 ◽

Vol 12 (3) ◽

pp. 79-102 ◽

Author(s):

Sandeep Juneja ◽

Himanshu Kalra

Keyword(s):

Variance Reduction ◽

American Options ◽

Variance Reduction Techniques ◽

Reduction Techniques ◽

Function Approximations

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Combining Latin Hypercube Sampling with Other Variance Reduction Techniques

SSRN Electronic Journal ◽

10.2139/ssrn.2179680 ◽

2012 ◽

Author(s):

Natalie Packham

Keyword(s):

Variance Reduction ◽

Latin Hypercube Sampling ◽

Latin Hypercube ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Variance Reduction Techniques

Journal of the Operational Research Society ◽

10.1057/jors.1985.88 ◽

1985 ◽

Vol 36 (6) ◽

pp. 525-530 ◽

Author(s):

B. A. P. James

Keyword(s):

Variance Reduction ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Implementation of variance-reduction techniques for Monte Carlo nuclear logging calculations with neutron sources

Radiation Protection Dosimetry ◽

10.1093/rpd/nci245 ◽

2005 ◽

Vol 116 (1-4) ◽

pp. 498-503 ◽

Author(s):

M. Maučec

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Neutron Sources ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options

Journal of Mathematical Finance ◽

10.4236/jmf.2013.34045 ◽

2013 ◽

Vol 03 (04) ◽

pp. 431-436 ◽

Author(s):

Qiang Zhao ◽

Guo Liu ◽

Guiding Gu

Keyword(s):

Monte Carlo ◽

Importance Sampling ◽

Monte Carlo Methods ◽

Variance Reduction ◽

Variance Reduction Techniques ◽

Pricing Options ◽

Reduction Techniques

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Investigating the Effectiveness of Variance Reduction Techniques in Manufacturing, Call Center and Cross-Docking Discrete Event Simulation Models

SSRN Electronic Journal ◽

10.2139/ssrn.2824948 ◽

2012 ◽

Author(s):

Adrian Adewunmi ◽

Uwe Aickelin

Keyword(s):

Discrete Event Simulation ◽

Call Center ◽

Variance Reduction ◽

Discrete Event ◽

Simulation Models ◽

Event Simulation ◽

Variance Reduction Techniques ◽

Reduction Techniques ◽

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Confidence intervals for quantiles when applying variance-reduction techniques

ACM Transactions on Modeling and Computer Simulation ◽

10.1145/2133390.2133394 ◽

2012 ◽

Vol 22 (2) ◽

pp. 1-25 ◽

Author(s):

Fang Chu ◽

Marvin K. Nakayama

Keyword(s):

Confidence Intervals ◽

Variance Reduction ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Variance Reduction Techniques

Simulation Techniques in Financial Risk Management ◽

10.1002/0471789496.ch6 ◽

2006 ◽

pp. 89-119

Keyword(s):

Variance Reduction ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Appendix B – Variance Reduction Techniques

Studies in Computational Intelligence - Intelligent Systems in Oil Field Development under Uncertainty ◽

10.1007/978-3-540-93000-6_9 ◽

2009 ◽

pp. 243-246

Author(s):

Juan Guillermo Lazo Lazo

Keyword(s):

Variance Reduction ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Variance Reduction Techniques for Nonstationary Simulation Models

10.21236/ada036687 ◽

1977 ◽

Author(s):

George S. Fishman

Keyword(s):

Variance Reduction ◽

Simulation Models ◽

Variance Reduction Techniques ◽

Reduction Techniques

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Evaluation of variance reduction techniques in BEAMnrc Monte Carlo simulation to improve the computing efficiency

Journal of Radiation Research and Applied Sciences ◽

10.1016/j.jrras.2016.05.005 ◽

2016 ◽

Vol 9 (4) ◽

pp. 424-430 ◽

Author(s):

Maged Mohammed ◽

E. Chakir ◽

H. Boukhal ◽

Mroan Saeed ◽

T. El Bardouni

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Variance Reduction ◽

Variance Reduction Techniques ◽

Reduction Techniques

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