Efficient basket Monte Carlo option pricing via a simple analytical approximation.

Ralf Korn Serkan Zeytun

Published in: J. Comput. Appl. Math. (2013)

Keyphrases

monte carlo
markovian decision
option pricing
importance sampling
markov chain
adaptive sampling
monte carlo methods
monte carlo simulation
particle filter
variance reduction
matrix inversion
monte carlo tree search
bayesian networks
black scholes