Efficient estimation of option price and price sensitivities via structured database Monte Carlo (SDMC).
Gang ZhaoTarik BorogovacPirooz VakiliPublished in: WSC (2007)
Keyphrases
- monte carlo
- importance sampling
- database
- monte carlo simulation
- markov chain
- simulation study
- monte carlo methods
- particle filter
- matrix inversion
- variance reduction
- adaptive sampling
- stochastic approximation
- markovian decision
- global illumination
- parameter estimation
- game tree search
- temporal difference
- particle filtering
- monte carlo tree search
- point processes
- quasi monte carlo
- search algorithm