Collaborative processing of Least-Square Monte Carlo for American options.
Jinzhe YangCe GuoWayne LukTerence NaharPublished in: FPT (2014)
Keyphrases
- monte carlo
- least squares
- importance sampling
- monte carlo simulation
- monte carlo methods
- matrix inversion
- markov chain
- monte carlo tree search
- adaptive sampling
- markovian decision
- monte carlo method
- variance reduction
- stochastic approximation
- simulation study
- particle filter
- collaborative learning
- global illumination
- game tree search
- markov chain monte carlo