Optimal search for parameters in Monte Carlo simulation for derivative pricing.

Chuan-Ju Wang Ming-Yang Kao

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

monte carlo simulation
monte carlo
markov chain
data sets
sensitivity analysis
neural network
input parameters
parameter values
parameter estimation
input data
supply chain
state space
search space
parameter space
artificial neural networks
bayesian networks
genetic algorithm