Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
Abstract : 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,
Minimum variance importance sampling via Population Monte Carlo
DOUC R., GUILLIN Arnaud, MARIN Jean-Michel
ROBERT Christian P.
Université de PARIS - DAUPHINE
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