4 search results - page 1 / 1 » Reducing the variance of likelihood ratio greeks in Monte Ca... |
WSC
2008
13 years 7 months ago
2008
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...
WSC
2004
13 years 6 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
ICPR
2002
IEEE
13 years 9 months ago
2002
IEEE
False matching due to errors in feature extraction and changes in illumination between frames may occur in feature tracking in image sequences. False matching leads to outliers in...
WSC
1998
13 years 6 months ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...