Exact retrospective Monte Carlo computation of arithmetic average Asian options.
Benjamin JourdainMohamed Karim SbaiPublished in: Monte Carlo Methods Appl. (2007)
Keyphrases
- monte carlo
- matrix inversion
- monte carlo simulation
- markov chain
- simulation study
- monte carlo methods
- importance sampling
- adaptive sampling
- variance reduction
- markovian decision
- confidence intervals
- monte carlo tree search
- monte carlo method
- point processes
- particle filter
- global illumination
- stochastic approximation
- bayesian networks
- temporal difference
- uct algorithm
- quasi monte carlo
- graphical models