Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing.
Daniel Z. ZangerPublished in: Finance Stochastics (2013)
Keyphrases
- monte carlo
- least squares
- learning algorithm
- optimal solution
- dynamic programming
- markov chain
- monte carlo simulation
- policy evaluation
- computational complexity
- np hard
- matrix inversion
- importance sampling
- optimal strategy
- particle filter
- model selection
- provably correct
- error estimates
- variance reduction
- decision analysis
- worst case
- objective function
- training data