• DocumentCode
    3635380
  • Title

    Monte Carlo Variance Reduction. Importance Sampling Techniques

  • Author

    Olariu Emanuel Florentin

  • Author_Institution
    Fac. of Comput. Sci., Al. I. Cuza Univ. of Iasi, Iasi, Romania
  • fYear
    2009
  • Firstpage
    137
  • Lastpage
    141
  • Abstract
    In this paper we investigate some Importance Sampling strategies and we apply them for the first time to the pricing of the spread options. We compare the Least Squares method to the f-divergence method in order to choose the importance sampling functions. Our numerical results reveals that the use of the divergences is frequently less computationally and time costly.
  • Keywords
    "Monte Carlo methods","Instruments","Pricing","Least squares methods","Scientific computing","Computer science","Telephony","Costs","Mathematical model","Testing"
  • Publisher
    ieee
  • Conference_Titel
    Symbolic and Numeric Algorithms for Scientific Computing (SYNASC), 2009 11th International Symposium on
  • Print_ISBN
    978-1-4244-5910-0
  • Type

    conf

  • DOI
    10.1109/SYNASC.2009.56
  • Filename
    5460858
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3635380