Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing.
Damir FilipovicKathrin GlauYuji NakatsukasaFrancesco StattiPublished in: CoRR (2019)
Keyphrases
- monte carlo
- option pricing
- least squares
- soft constraints
- monte carlo simulation
- quasi monte carlo
- policy evaluation
- importance sampling
- stock price
- markov chain
- black scholes
- decision analysis
- matrix inversion
- parameter estimation
- black scholes model
- particle filter
- real option
- optical flow
- temporal difference
- stock market
- data mining
- variance reduction
- game tree
- optimal strategy
- life cycle
- probabilistic model