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Stratified regression-based variance reduction approach for weak approximation schemes

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  • Denis Belomestny
  • Stefan Hafner
  • Mikhail Urusov

Abstract

In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.

Suggested Citation

  • Denis Belomestny & Stefan Hafner & Mikhail Urusov, 2016. "Stratified regression-based variance reduction approach for weak approximation schemes," Papers 1612.05255, arXiv.org, revised Mar 2017.
    • Handle: RePEc:arx:papers:1612.05255
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    References listed on IDEAS

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    1. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
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