Efficient Monte Carlo simulation for integral functionals of Brownian motion.
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| Title: | Efficient Monte Carlo simulation for integral functionals of Brownian motion. |
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| Authors: | Kolkiewicz, Adam W.1 wakolkie@uwaterloo.ca |
| Source: | Journal of Complexity. Jun2014, Vol. 30 Issue 3, p255-278. 24p. |
| Subjects: | Integral functions, Monte Carlo method, Brownian motion, Analysis of variance, Vector analysis, Brownian bridges (Mathematics), Mathematical sequences |
| Abstract: | Abstract: In the paper, we develop a variance reduction technique for Monte Carlo simulations of integral functionals of a Brownian motion. The procedure is based on a new method of sampling the process, which combines the Brownian bridge construction with conditioning on integrals along paths of the process. The key element in our method is the identification of a low-dimensional vector of variables that reduces the dimension of the integration problem more effectively than the Brownian bridge. We illustrate the method by applying it in conjunction with low-discrepancy sequences to the problem of pricing Asian options. [Copyright &y& Elsevier] |
| Copyright of Journal of Complexity is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
| FullText | Text: Availability: 0 |
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| Header | DbId: egs DbLabel: Engineering Source An: 95316617 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Efficient Monte Carlo simulation for integral functionals of Brownian motion. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Kolkiewicz%2C+Adam+W%2E%22">Kolkiewicz, Adam W.</searchLink><relatesTo>1</relatesTo><i> wakolkie@uwaterloo.ca</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Journal+of+Complexity%22">Journal of Complexity</searchLink>. Jun2014, Vol. 30 Issue 3, p255-278. 24p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Integral+functions%22">Integral functions</searchLink><br /><searchLink fieldCode="DE" term="%22Monte+Carlo+method%22">Monte Carlo method</searchLink><br /><searchLink fieldCode="DE" term="%22Brownian+motion%22">Brownian motion</searchLink><br /><searchLink fieldCode="DE" term="%22Analysis+of+variance%22">Analysis of variance</searchLink><br /><searchLink fieldCode="DE" term="%22Vector+analysis%22">Vector analysis</searchLink><br /><searchLink fieldCode="DE" term="%22Brownian+bridges+%28Mathematics%29%22">Brownian bridges (Mathematics)</searchLink><br /><searchLink fieldCode="DE" term="%22Mathematical+sequences%22">Mathematical sequences</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: Abstract: In the paper, we develop a variance reduction technique for Monte Carlo simulations of integral functionals of a Brownian motion. The procedure is based on a new method of sampling the process, which combines the Brownian bridge construction with conditioning on integrals along paths of the process. The key element in our method is the identification of a low-dimensional vector of variables that reduces the dimension of the integration problem more effectively than the Brownian bridge. We illustrate the method by applying it in conjunction with low-discrepancy sequences to the problem of pricing Asian options. [Copyright &y& Elsevier] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Journal of Complexity is the property of Academic Press Inc. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1016/j.jco.2013.12.005 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 24 StartPage: 255 Subjects: – SubjectFull: Integral functions Type: general – SubjectFull: Monte Carlo method Type: general – SubjectFull: Brownian motion Type: general – SubjectFull: Analysis of variance Type: general – SubjectFull: Vector analysis Type: general – SubjectFull: Brownian bridges (Mathematics) Type: general – SubjectFull: Mathematical sequences Type: general Titles: – TitleFull: Efficient Monte Carlo simulation for integral functionals of Brownian motion. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Kolkiewicz, Adam W. IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 06 Text: Jun2014 Type: published Y: 2014 Identifiers: – Type: issn-print Value: 0885064X Numbering: – Type: volume Value: 30 – Type: issue Value: 3 Titles: – TitleFull: Journal of Complexity Type: main |
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