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Continuous-Time Monte Carlo Methods and Variance Reduction · Study

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ChapterContinuous-Time Monte Carlo Methods and Variance Reduction

Nigel J. Newton1997

Chapter1997

Continuous-Time Monte Carlo Methods and Variance Reduction

Nigel J. Newton

24 citations·0/0 files stored·Cambridge University Press eBooks

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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2009Practical Variance Reduction via Regression for Simulating Diffusions 2006MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

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Year1997

Typechapter

Published1997-06-26

VenueCambridge University Press eBooks

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1017/cbo9781139173056.003

openalex_workW150531289

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