: Fast Greeks along Monte Carlo scenarios for early-exercise options.
Shashi JainÁlvaro LeitaoCornelis W. OosterleePublished in: J. Comput. Sci. (2019)
Keyphrases
- monte carlo
- markov chain
- importance sampling
- simulation study
- monte carlo simulation
- monte carlo tree search
- monte carlo methods
- variance reduction
- monte carlo method
- markovian decision
- particle filter
- adaptive sampling
- uct algorithm
- optimal strategy
- game tree
- game tree search
- temporal difference
- policy evaluation
- least squares