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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options.
Fei Xie
Zhijian He
Xiaoqun Wang
Published in:
Eur. J. Oper. Res. (2019)
Keyphrases
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monte carlo simulation
monte carlo
markov chain
particle filter
translation invariant
discrete geometry
discrete version
finite number
smoothing algorithm
information retrieval
image segmentation
motion planning
relative importance
continuous variables
option pricing
allocation policy