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Diffstat (limited to 'doc')
| -rw-r--r-- | doc/rapport.bib | 12 | ||||
| -rw-r--r-- | doc/rapport.tex | 1 |
2 files changed, 13 insertions, 0 deletions
diff --git a/doc/rapport.bib b/doc/rapport.bib index 3ff0dc5..029824a 100644 --- a/doc/rapport.bib +++ b/doc/rapport.bib @@ -45,3 +45,15 @@ address = {New York, NY, USA}, keywords = {Monte Carlo, antithetic variates, low discrepancy sequences, product-form networks, variance reduction}, } + +@article{glasserman1999asymptotically, + title={Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options}, + author={Glasserman, Paul and Heidelberger, Philip and Shahabuddin, Perwez}, + journal={Mathematical finance}, + volume={9}, + number={2}, + pages={117--152}, + year={1999}, + publisher={Wiley Online Library} +} + diff --git a/doc/rapport.tex b/doc/rapport.tex index 08686c3..c771e1d 100644 --- a/doc/rapport.tex +++ b/doc/rapport.tex @@ -240,6 +240,7 @@ $\mathbb{R}$ en $I=100$ strates suivant les quantiles au $1/100^{\textrm{ème}}$ technique utile dans ce cas car on ne connait pas la suite des $\sigma_i = \mathrm{Var}(f_{\mu}(X)|u'X\in [y_{i-1},y_i])$. + \printbibliography \end{document} |