A framework for adaptive Monte-Carlo procedures
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References listed on IDEAS
- Arouna Bouhari, 2004. "Adaptative Monte Carlo Method, A Variance Reduction Technique," Monte Carlo Methods and Applications, De Gruyter, vol. 10(1), pages 1-24, March.
- Sujin Kim & Shane G. Henderson, 2007. "Adaptive Control Variates for Finite-Horizon Simulation," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 508-527, August.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-30 (All new papers)
- NEP-CMP-2010-01-30 (Computational Economics)
- NEP-ECM-2010-01-30 (Econometrics)
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