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On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo.

Giray ÖktenEmmanuel SaltaAhmet Göncü
Published in: Math. Comput. Model. (2008)
Keyphrases
  • monte carlo
  • importance sampling
  • conditional expectation
  • markov chain
  • decision theory
  • particle filter
  • generalization error
  • variance reduction
  • training set
  • utility function