Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options

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Journal of Mathematical Finance

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"Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options"
written by Qiang Zhao, Guo Liu, Guiding Gu,
published by Journal of Mathematical Finance, Vol.3 No.4, 2013

has been cited by the following article(s):

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[7]	Assessment of socio-economic efficiency of investments in transport construction by Monte Carlo method including uncertainty
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[8]	Bayesian Framework for Multi-Stage Transmission Expansion Planning Under Uncertainty via Emulation
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[9]	Transfer learning for actor-critic methods in Lipschitz Markov decision processes
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[10]	Variance reduced Monte-Carlo Simulations of Stochastic Differential Equations
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[11]	Solution of Multidimensional Integration using Adaptive Monte Carlo Method with General Division Approach and its Validation
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[12]	Monte Carlo Methods in Finance
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[13]	A joint application of the put-call-parity and importance sampling to variance reduced option pricing
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[14]	Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation
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[15]	Improved Variance Reduced Monte-Carlo Simulation of in-the-Money Options
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[16]	An application of the put-call-parity to variance reduced Monte-Carlo option pricing
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[17]	Approximations of option price elasticities for importance sampling
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[18]	Assessing the credit risk of money market funds during the eurozone crisis
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[1]	Implementation of variance reduction techniques applied to the pricing of investment certificates RISK MANAGEMENT MAGAZINE, 2023 DOI:10.47473/2020rmm0121

[2]	Evolution of risk assessment methods and the possibility of their use in determining the investment and construction projects’ effectiveness E3S Web of Conferences, 2021 DOI:10.1051/e3sconf/202128108007

[3]	Assessing the credit risk of money market funds during the eurozone crisis Journal of Financial Stability, 2016 DOI:10.1016/j.jfs.2015.12.001

[4]	Improved Variance Reduced Monte-Carlo Simulation of in-the-Money Options Journal of Mathematical Finance, 2016 DOI:10.4236/jmf.2016.63029

[5]	Assessing Credit Risk in Money Market Fund Portfolios SSRN Electronic Journal, 2014 DOI:10.2139/ssrn.2438908

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	+86 18163351462(WhatsApp)
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