Abstract
This appendix describes the variance reduction techniques used in this work.
Variance Reduction Techniques
Monte Carlo simulation is very commonly used for evaluating the expected value of a variable that is a function of several stochastic variables, which is a problem that cannot be treated analytically. In this context, one of the methods used for American option pricing is a combination of Monte Carlo simulation with dynamic programming.
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Lazo, J.G.L. (2009). Appendix B – Variance Reduction Techniques. In: Pacheco, M.A.C., Vellasco, M.M.B.R. (eds) Intelligent Systems in Oil Field Development under Uncertainty. Studies in Computational Intelligence, vol 183. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-93000-6_9
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DOI: https://doi.org/10.1007/978-3-540-93000-6_9
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