Monte Carlo Bounds for Game Options Including Convertible Bonds.
Christopher BeveridgeMark S. JoshiPublished in: Manag. Sci. (2011)
Keyphrases
- monte carlo
- monte carlo tree search
- payoff functions
- convertible bonds
- markovian decision
- black scholes
- option pricing
- uct algorithm
- optimal strategy
- variance reduction
- game tree
- game tree search
- pricing model
- markov chain
- importance sampling
- monte carlo simulation
- financial crisis
- monte carlo methods
- lower bound
- upper bound
- game theory
- game playing
- particle filter
- decision analysis
- nash equilibrium
- game theoretic
- adaptive sampling
- credit risk
- computer games
- imperfect information
- real option
- reinforcement learning
- matrix inversion
- game play
- state space
- stock price
- temporal difference
- evaluation function
- video games
- resource allocation
- worst case
- cooperative