Fabian Dickmann
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View article: Faster comparison of stopping times by nested conditional Monte Carlo
Faster comparison of stopping times by nested conditional Monte Carlo Open
We show that deliberately introducing a nested simulation stage can lead to significant variance reductions when comparing two stopping times by Monte Carlo. We derive the optimal number of nested simulations and prove that the algorithm i…
View article: Regression based duality approach to optimal control with application to hydro electricity storage
Regression based duality approach to optimal control with application to hydro electricity storage Open
In this paper we consider the problem of optimal control of stochastic processes. We employ the dual martingale method brought forward in [Brown, Smith, and Sun, 2010]. The martingale constituting the solution of the dual problem is determ…
View article: Multilevel approach for Bermudan Option Pricing
Multilevel approach for Bermudan Option Pricing Open
The Multilevel approach has been introduced into stochastics by Heinrich 2001 and Giles 2008. It is an idea about how to reduce the complexity of Monte Carlo simulations, if the precision and computational time of these simulations depend …