Stratified regression-based variance reduction approach for weak approximation schemes
Computational Finance
2017-06-13 v2
Abstract
In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. 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
Cite
@article{arxiv.1612.05255,
title = {Stratified regression-based variance reduction approach for weak approximation schemes},
author = {Denis Belomestny and Stefan Häfner and Mikhail Urusov},
journal= {arXiv preprint arXiv:1612.05255},
year = {2017}
}