Matches in SemOpenAlex for { <https://semopenalex.org/work/W4288091937> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W4288091937 abstract "We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation to handle high-dimensional problems with the efficiency of function approximation. Specifically, we first generalize the recently developed method for multivariate integration in [arXiv:1806.05492] to integration with respect to probability measures. The method is based on the principle approximate and integrate in three steps i) sample the integrand at points in the integration domain, ii) approximate the integrand by solving a least-squares problem, iii) integrate the approximate function. In high-dimensional applications we face memory limitations due to large storage requirements in step ii). Combining weighted sampling and the randomized extended Kaczmarz algorithm we obtain a new efficient approach to solve large-scale least-squares problems. Our convergence and cost analysis along with numerical experiments show the effectiveness of the method in both low and high dimensions, and under the assumption of a limited number of available simulations." @default.
- W4288091937 created "2022-07-28" @default.
- W4288091937 creator A5003468176 @default.
- W4288091937 creator A5008129578 @default.
- W4288091937 creator A5030208177 @default.
- W4288091937 creator A5059712147 @default.
- W4288091937 date "2019-10-16" @default.
- W4288091937 modified "2023-10-16" @default.
- W4288091937 title "Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing" @default.
- W4288091937 doi "https://doi.org/10.48550/arxiv.1910.07241" @default.
- W4288091937 hasPublicationYear "2019" @default.
- W4288091937 type Work @default.
- W4288091937 citedByCount "0" @default.
- W4288091937 crossrefType "posted-content" @default.
- W4288091937 hasAuthorship W4288091937A5003468176 @default.
- W4288091937 hasAuthorship W4288091937A5008129578 @default.
- W4288091937 hasAuthorship W4288091937A5030208177 @default.
- W4288091937 hasAuthorship W4288091937A5059712147 @default.
- W4288091937 hasBestOaLocation W42880919371 @default.
- W4288091937 hasConcept C105795698 @default.
- W4288091937 hasConcept C111350023 @default.
- W4288091937 hasConcept C11413529 @default.
- W4288091937 hasConcept C126255220 @default.
- W4288091937 hasConcept C127349201 @default.
- W4288091937 hasConcept C13153151 @default.
- W4288091937 hasConcept C132725507 @default.
- W4288091937 hasConcept C134306372 @default.
- W4288091937 hasConcept C161584116 @default.
- W4288091937 hasConcept C162324750 @default.
- W4288091937 hasConcept C19499675 @default.
- W4288091937 hasConcept C2524010 @default.
- W4288091937 hasConcept C2777303404 @default.
- W4288091937 hasConcept C28826006 @default.
- W4288091937 hasConcept C33923547 @default.
- W4288091937 hasConcept C41008148 @default.
- W4288091937 hasConcept C50522688 @default.
- W4288091937 hasConcept C52740198 @default.
- W4288091937 hasConcept C57691317 @default.
- W4288091937 hasConcept C63320529 @default.
- W4288091937 hasConceptScore W4288091937C105795698 @default.
- W4288091937 hasConceptScore W4288091937C111350023 @default.
- W4288091937 hasConceptScore W4288091937C11413529 @default.
- W4288091937 hasConceptScore W4288091937C126255220 @default.
- W4288091937 hasConceptScore W4288091937C127349201 @default.
- W4288091937 hasConceptScore W4288091937C13153151 @default.
- W4288091937 hasConceptScore W4288091937C132725507 @default.
- W4288091937 hasConceptScore W4288091937C134306372 @default.
- W4288091937 hasConceptScore W4288091937C161584116 @default.
- W4288091937 hasConceptScore W4288091937C162324750 @default.
- W4288091937 hasConceptScore W4288091937C19499675 @default.
- W4288091937 hasConceptScore W4288091937C2524010 @default.
- W4288091937 hasConceptScore W4288091937C2777303404 @default.
- W4288091937 hasConceptScore W4288091937C28826006 @default.
- W4288091937 hasConceptScore W4288091937C33923547 @default.
- W4288091937 hasConceptScore W4288091937C41008148 @default.
- W4288091937 hasConceptScore W4288091937C50522688 @default.
- W4288091937 hasConceptScore W4288091937C52740198 @default.
- W4288091937 hasConceptScore W4288091937C57691317 @default.
- W4288091937 hasConceptScore W4288091937C63320529 @default.
- W4288091937 hasLocation W42880919371 @default.
- W4288091937 hasOpenAccess W4288091937 @default.
- W4288091937 hasPrimaryLocation W42880919371 @default.
- W4288091937 hasRelatedWork W1969976518 @default.
- W4288091937 hasRelatedWork W1996537871 @default.
- W4288091937 hasRelatedWork W2011831588 @default.
- W4288091937 hasRelatedWork W2048339733 @default.
- W4288091937 hasRelatedWork W2076604143 @default.
- W4288091937 hasRelatedWork W2084080261 @default.
- W4288091937 hasRelatedWork W2153934880 @default.
- W4288091937 hasRelatedWork W2954554668 @default.
- W4288091937 hasRelatedWork W590971457 @default.
- W4288091937 hasRelatedWork W6886352 @default.
- W4288091937 isParatext "false" @default.
- W4288091937 isRetracted "false" @default.
- W4288091937 workType "article" @default.