Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

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Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

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Winter Simulation Conference archive
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1 table of contents

Phoenix, Arizona, United States

Pages: 336 - 343

Year of Publication: 1999

ISBN:0-7803-5780-9

Authors

Hatem Ben Ameur	École des Hautes Études Commerciales, 3000, chemin de la Côte-Ste-Catherine, Montréal, H3T 2A7, Canada
Pierre L'Ecuyer	Département d'Informatique et de Recherche Opérationnelle, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, H3C 3J7, Canada
Christiane Lemieux	Département d'Informatique et de Recherche Opérationnelle, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, H3C 3J7, Canada

Sponsors

ACM: Association for Computing Machinery
SIGSIM: ACM Special Interest Group on Simulation and Modeling

Publisher

ACM New York, NY, USA

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Downloads (6 Weeks): 10, Downloads (12 Months): 42, Citation Count: 1

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REFERENCES

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