Title :
Monte Carlo Variance Reduction. Importance Sampling Techniques
Author :
Olariu Emanuel Florentin
Author_Institution :
Fac. of Comput. Sci., Al. I. Cuza Univ. of Iasi, Iasi, Romania
Abstract :
In this paper we investigate some Importance Sampling strategies and we apply them for the first time to the pricing of the spread options. We compare the Least Squares method to the f-divergence method in order to choose the importance sampling functions. Our numerical results reveals that the use of the divergences is frequently less computationally and time costly.
Keywords :
"Monte Carlo methods","Instruments","Pricing","Least squares methods","Scientific computing","Computer science","Telephony","Costs","Mathematical model","Testing"
Conference_Titel :
Symbolic and Numeric Algorithms for Scientific Computing (SYNASC), 2009 11th International Symposium on
Print_ISBN :
978-1-4244-5910-0
DOI :
10.1109/SYNASC.2009.56
