Tight bounds for American options via multilevel Monte Carlo.
Denis BelomestnyMarcel LadkauJohn SchoenmakersPublished in: WSC (2012)
Keyphrases
- monte carlo
- tight bounds
- upper bound
- importance sampling
- markov chain
- adaptive sampling
- monte carlo simulation
- markovian decision
- simulation study
- matrix inversion
- monte carlo methods
- monte carlo method
- stochastic approximation
- global illumination
- monte carlo tree search
- game tree search
- temporal difference
- reinforcement learning
- branch and bound
- particle filter
- worst case
- least squares
- support vector machine
- search space