Convenient Multiple Directions Of Stratification
Work
Year: 2011
Type: article
Abstract: This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian vectors. The precisi... more
Institutions CERMICS, Institut national de recherche en informatique et en automatique, E.ON (Germany), University of Bari Aldo Moro
Cites: 18
Cited by: 4
Related to: 10
FWCI: 1.219
Citation percentile (by year/subfield): 60.7
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green