A functional approach to accelerating Monte Carlo based american option pricing.
Wojciech Michal PawlakMartin ElsmanCosmin Eugen OanceaPublished in: IFL (2019)
Keyphrases
- monte carlo
- option pricing
- stock price
- decision analysis
- markov chain
- black scholes
- monte carlo simulation
- importance sampling
- black scholes model
- monte carlo methods
- monte carlo tree search
- real option
- optimal strategy
- matrix inversion
- markovian decision
- adaptive sampling
- particle filter
- message passing
- text categorization
- knowledge discovery
- search algorithm