Pricing American options with least squares Monte Carlo on GPUs.
Massimiliano FaticaEverett H. PhillipsPublished in: WHPCF@SC (2013)
Keyphrases
- monte carlo
- least squares
- option pricing
- black scholes model
- double exponential
- policy evaluation
- matrix inversion
- importance sampling
- monte carlo simulation
- monte carlo methods
- markov chain
- particle filter
- adaptive sampling
- parameter estimation
- optical flow
- stock price
- simulation study
- monte carlo tree search
- stochastic approximation
- ls svm
- parallel processing
- variance reduction
- global illumination
- markov chain monte carlo
- markovian decision
- temporal difference
- point processes
- machine learning
- optimal strategy
- computer vision