Stratified regression-based variance reduction approach for weak approximation schemes

D. Belomestny, S. Häfner and M. Urusov

Mathematics and Computers in Simulation (MATCOM), 2018, vol. 143, issue C, 125-137

Abstract: In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. [1]. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.

Keywords: Control variates; Stratification; Monte Carlo methods; Weak schemes; Regression (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:143:y:2018:i:c:p:125-137

DOI: 10.1016/j.matcom.2017.05.003

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