Variance reduction in a stochastic volatility scenario.

Guerra, Maria Letizia, and Sorini, Laerte. "Variance reduction in a stochastic volatility scenario.." APPS. Applied Sciences 9 (2007): 109-120. <http://eudml.org/doc/230323>.

@article{Guerra2007,
author = {Guerra, Maria Letizia, Sorini, Laerte},
journal = {APPS. Applied Sciences},
keywords = {Monte Carlo simulations; stochastic differential equations; variance reduction; stochastic volatility; importance sampling},
language = {eng},
pages = {109-120},
publisher = {University Politehnica of Bucharest, Department of Mathematics and Physics, Bucharest; Balkan Society of Geometers},
title = {Variance reduction in a stochastic volatility scenario.},
url = {http://eudml.org/doc/230323},
volume = {9},
year = {2007},
}

TY - JOUR
AU - Guerra, Maria Letizia
AU - Sorini, Laerte
TI - Variance reduction in a stochastic volatility scenario.
JO - APPS. Applied Sciences
PY - 2007
PB - University Politehnica of Bucharest, Department of Mathematics and Physics, Bucharest; Balkan Society of Geometers
VL - 9
SP - 109
EP - 120
LA - eng
KW - Monte Carlo simulations; stochastic differential equations; variance reduction; stochastic volatility; importance sampling
UR - http://eudml.org/doc/230323
ER -