On the Anomaly of ran1() in Monte Carlo Pricing of Financial Derivatives.
Akira TajimaSyoiti NinomiyaShu TezukaPublished in: WSC (1996)
Keyphrases
- monte carlo
- financial markets
- anomaly detection
- markov chain
- monte carlo simulation
- higher order
- importance sampling
- monte carlo methods
- decision making
- adaptive sampling
- simulation study
- monte carlo tree search
- particle filter
- stock market
- monte carlo method
- markovian decision
- variance reduction
- optimal strategy
- temporal difference
- matrix inversion
- global illumination