Year: 2017
Type: article
Abstract: We propose an unbiased Monte Carlo method to compute E(g(XT)) where g is a Lipschitz function and X an Ito process. This approach extends the method proposed in [16] to the case where X is solution of a multidimensional stochastic differential equation with varying drift and diffusion coefficients. A variance reduction method relying on interacting particle systems is also developed.
Source: ESAIM Probability and Statistics
DOI: 10.1051/ps/2017001
Authors: Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
Institution: Laboratoire de Finance des Marchés de l'Énergie
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2507412930