inria-00070316, version 1
Minimum variance importance sampling via Population Monte Carlo
R. Douc 1A. GuillinJ.-M. Marin 1C.P. Robert
N° RR-5699 (2005)
Résumé : Variance reduction has always been a central issue in Monte Carlo experiments. Population Monte Carlo can be used to this effect, in that a mixture of importance functions, called a D-kernel, can be iteratively optimised to achieve the minimum asymptotic variance for a function of interest among all possible mixtures. The implementation of this iterative scheme is illustrated for the computation of the price of a European option in the Cox-Ingersoll-Ross model.
- 1 : SELECT (INRIA Futurs)
- INRIA – Université Paris XI - Paris Sud
- Domaine : Informatique/Autre
- Mots-clés : ADAPTIVITY / COX-INGERSOLL-ROSS MODEL / EULER SCHEME / IMPORTANCE SAMPLING / MATHEMATICAL FINANCE / MIXTURES / POPULATION MONTE CARLO / VARIANCE REDUCTION.
- Référence interne : RR-5699
- inria-00070316, version 1
- http://hal.inria.fr/inria-00070316
- oai:hal.inria.fr:inria-00070316
- Contributeur : Rapport De Recherche Inria
- Soumis le : Vendredi 19 Mai 2006, 20:02:15
- Dernière modification le : Mercredi 23 Mai 2007, 15:44:28
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