Function-Approximation-Based Importance Sampling for Pricing American Options.
Nomesh BoliaSandeep JunejaPaul GlassermanPublished in: WSC (2004)
Keyphrases
- function approximation
- importance sampling
- monte carlo
- reinforcement learning
- kalman filter
- markov chain
- particle filter
- learning tasks
- particle filtering
- radial basis function
- variance reduction
- least squares
- approximate inference
- markov chain monte carlo
- machine learning
- parameter estimation
- visual tracking
- learning process
- feature selection
- data mining