22 citations · 60 across the 23 of their papers we have counts for
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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…
Regression-based variance reduction approach for strong approximation schemes
Denis Belomestny, Stefan Häfner, Mikhail Urusov
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and…
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…