英文标题：
《Faster Comparison of Stopping Times by Nested Conditional Monte Carlo》
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作者：
Fabian Dickmann and Nikolaus Schweizer
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最新提交年份：
2014
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英文摘要：
  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 is remarkably robust to misspecifications of this number. The method is applied to several problems related to Bermudan/American options. In these applications, our method allows to substantially increase the efficiency of other variance reduction techniques, namely, Quasi-Control Variates and Multilevel Monte Carlo.
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中文摘要：
我们表明，当通过蒙特卡罗比较两个停止时间时，故意引入嵌套模拟阶段可以显著降低方差。我们推导了嵌套模拟的最佳数目，并证明了该算法对该数目的错误指定具有显著的鲁棒性。该方法适用于与百慕大/美式期权相关的几个问题。在这些应用中，我们的方法允许大幅提高其他方差缩减技术的效率，即准控制变量和多级蒙特卡罗。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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