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1. Variance Reduction Techniques for Monte Carlo Valuation of Financial Derivatives

open_access
Open Access
Author:
Korostin, Stan A
Title:
Variance Reduction Techniques for Monte Carlo Valuation of Financial Derivatives
Area of Honors:
Risk Management
Keywords:
Monte Carlo
Variance
Control Variate
Antithetic
Stratified
Quasi-Monte Carlo
Asian
Actuarial
Derivative
Financial
File:
Download Stan_Korostin__SHC_Thesis.pdf
Thesis Supervisors:
Ron Gebhardtsbauer, Thesis Supervisor
Ron Gebhardtsbauer, Thesis Honors Advisor
Lisa Lipowski Posey, Faculty Reader

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