Výsledky vyhledávání - "Häfner, Stefan"

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Truncated control variates for weak approximation schemes

Autor: Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail

In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. This enhancement is based on a truncation of the control variate and allows for a significant reduction of the comput

Externí odkaz: http://arxiv.org/abs/1701.00273

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Stratified regression-based variance reduction approach for weak approximation schemes

Autor: Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail

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

Externí odkaz: http://arxiv.org/abs/1612.05255

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Regression-based variance reduction approach for strong approximation schemes

Autor: Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail

In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the terminal fu

Externí odkaz: http://arxiv.org/abs/1612.03407

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Regression-based complexity reduction of the nested Monte Carlo methods

Autor: Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail

In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We analyse th

Externí odkaz: http://arxiv.org/abs/1611.06344

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