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Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model.
Jingtang Ma
Wenyuan Li
Harry Zheng
Published in:
Eur. J. Oper. Res. (2020)
Keyphrases
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monte carlo method
probabilistic model
tight bounds
mathematical model
experimental data
objective function
markov chain
em algorithm
machine learning
search space
prior knowledge
probability distribution
upper bound