An Introduction to Multilevel Monte Carlo for Option Valuation.
Desmond J. HighamPublished in: CoRR (2015)
Keyphrases
- monte carlo
- real option
- monte carlo simulation
- decision makers
- markov chain
- importance sampling
- markovian decision
- monte carlo methods
- simulation study
- monte carlo tree search
- matrix inversion
- adaptive sampling
- particle filter
- monte carlo method
- stochastic approximation
- point processes
- decision making
- optimal strategy
- temporal difference
- confidence intervals
- bayesian networks
- uct algorithm