๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Control variate method for stationary processes

โœ Scribed by Tomoyuki Amano; Masanobu Taniguchi

Book ID
113700310
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
298 KB
Volume
165
Category
Article
ISSN
0304-4076

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

An efficient control variate method for
An efficient control variate method for pricing variance derivatives
โœ JunMei Ma; Chenglong Xu ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 932 KB

This paper studies the pricing of variance swap derivatives with stochastic volatility by the control variate method. A closed form solution is derived for the approximate model with deterministic volatility, which plays the key role in the paper, and an efficient control variate technique is theref

Ratio control variate method for efficie
Ratio control variate method for efficiently determining high-dimensional model representations
โœ Genyuan Li; Herschel Rabitz ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 107 KB

## Abstract The Highโ€Dimensional Model Representation (HDMR) technique is a family of approaches to efficiently interpolate highโ€dimensional functions. RS(Random Sampling)โ€HDMR is a practical form of HDMR based on randomly sampling the overall function, and utilizing orthonormal polynomial expansio