Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

Authors:
Hatem Ben Ameur;Pierre L'Ecuyer;Christiane Lemieux
Affiliations:
École des Hautes Études Commerciales, 3000, chemin de la Côte-Ste-Catherine, Montréal, H3T 2A7, Canada;Département d'Informatique et de Recherche Opérationnelle, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, H3C 3J7, Canada;Département d'Informatique et de Recherche Opérationnelle, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, H3C 3J7, Canada
Venue:
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Year:
1999

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