Christiane Lemieux Monte Carlo and Quasi - Monte Carlo Sampling
نویسنده
چکیده
منابع مشابه
Control variates for quasi-Monte Carlo
Quasi-Monte Carlo (QMC) methods have begun to displace ordinary Monte Carlo (MC) methods in many practical problems. It is natural and obvious to combine QMC methods with traditional variance reduction techniques used in MC sampling, such as control variates. There can, however, be some surprises. The optimal control variate coefficient for QMC methods is not in general the same as for MC. Usin...
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We explore how lattice rules can reduce the variance of the estimators for simulation problems, in comparison with the Monte Carlo method. To do this, we compare these two methods on option valuation problems in nance, along with two types of (t; s)-sequences. We also look at the eeect of combining variance reduction techniques with the preceding approaches. Our numerical results seem to indica...
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Lattice rules are a quasi-Monte Carlo method, an alternative to the Monte Carlo method for multidimensional numerical integration. The measures of performance that we estimate by simulation can be seen as the values of integrals in large dimensions. Therefore, instead of the usual Monte Carlo method, one can use lattice rules in simulation. In this paper, we compare these rules to the Monte Car...
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