Kathrin Glau

Queen Mary University of London

Mile End Road

London , London E1 4NS

United Kingdom

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Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
École Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and École Polytechnique Fédérale de Lausanne
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Abstract:

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Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems