216 search results - page 8 / 44 » Overlapping Variance Estimators for Simulation |
WSC
2004
13 years 8 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
WSC
2004
13 years 8 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
TSP
2010
13 years 2 months ago
2010
This paper presents a method for signal extraction based on conditional second-order moments of the output of the extraction filter. The estimator of the filter is derived from an ...
CSDA
2010
13 years 7 months ago
2010
Geometric quantiles are investigated using data collected from a complex survey. Geometric quantiles are an extension of univariate quantiles in a multivariate set-up that uses th...
ICML
2009
IEEE
14 years 8 months ago
2009
IEEE
We propose a new penalty function which, when used as regularization for empirical risk minimization procedures, leads to sparse estimators. The support of the sparse vector is ty...