Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance.
Hatem Ben AmeurPierre L'EcuyerChristiane LemieuxPublished in: WSC (1999)
Keyphrases
- quasi monte carlo
- variance reduction
- monte carlo
- monte carlo simulation
- importance sampling
- point processes
- markov chain
- sample size
- particle filter
- confidence intervals
- policy evaluation
- probabilistic model
- naive bayes classifier
- markov chain monte carlo
- machine learning
- dynamic systems
- conditional density estimation