Competency of Monte Carlo and Black-Scholes in pricing Nifty index options: A vis-à-vis study.

Vipul Kumar Singh

Published in: Monte Carlo Methods Appl. (2014)

Keyphrases

monte carlo
option pricing
black scholes
markov chain
monte carlo simulation
black scholes model
stock price
importance sampling
markovian decision
machine learning
dynamic programming
particle filter
quasi monte carlo