Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing.

Gül Gürkan Ayonca Özge Stephen M. Robinson

Published in: WSC (1996)

Keyphrases

variational inequalities
sample path
option pricing
asymptotic analysis
nonlinear programming
sensitivity analysis
stationary points
markov chain
primal dual
fixed point
policy iteration
nash equilibrium
machine learning
boundary conditions
optimality conditions
monte carlo
non stationary
least squares