Multilevel Monte Carlo for Asian options and limit theorems.

Mohamed Ben Alaya Ahmed Kebaier

Published in: Monte Carlo Methods Appl. (2014)

Keyphrases

monte carlo
limit theorems
confidence intervals
heavy traffic
markov chain
steady state
monte carlo simulation
queue length
monte carlo methods
monte carlo tree search
markovian decision
importance sampling
queueing networks
adaptive sampling
variance reduction
long run
mean shift
objective function