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q-fin.CP2016★ 2 cited
Stratified regression-based variance reduction approach for weak approximation schemes
Denis Belomestny, Stefan Häfner, Mikhail Urusov
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…
q-fin.CP2016★ 5 cited
Regression-based complexity reduction of the nested Monte Carlo methods
Denis Belomestny, Stefan Häfner, Mikhail Urusov
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especial…