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Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
Vlad Bally
Lucia Caramellino
Antonino Zanette
Published in:
Monte Carlo Methods Appl. (2005)
Keyphrases
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monte carlo methods
option pricing
black scholes model
monte carlo
black scholes
stock price
decision analysis
bayesian networks
convertible bonds
simulated annealing
financial markets
monte carlo method
real option
machine learning
reinforcement learning
em algorithm
dynamic programming
pairwise
learning algorithm