Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff.
Michael B. GilesDesmond J. HighamXuerong MaoPublished in: Finance Stochastics (2009)
Keyphrases
- monte carlo
- payoff functions
- importance sampling
- monte carlo simulation
- markov chain
- monte carlo methods
- simulation study
- uct algorithm
- stochastic approximation
- matrix inversion
- particle filter
- game theory
- monte carlo method
- point processes
- monte carlo tree search
- temporal difference
- variance reduction
- optimal strategy
- nash equilibrium
- markovian decision
- adaptive sampling
- quasi monte carlo