20 citations · 20 across the 4 of their papers we have counts for
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q-fin.CP2010
Convenient Multiple Directions of Stratification
Benjamin Jourdain, Bernard Lapeyre, Piergiacomo Sabino
This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian…
q-fin.CP2010★ 20 cited
A framework for adaptive Monte-Carlo procedures
Bernard Lapeyre, Jérôme Lelong
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adapt…