Monte Carlo Greeks for Financial Products via Approximative Transition Densities.
Jörg KampenAnastasia KolodkoJohn SchoenmakersPublished in: SIAM J. Sci. Comput. (2008)
Keyphrases
- monte carlo
- monte carlo simulation
- markov chain
- importance sampling
- monte carlo tree search
- monte carlo methods
- simulation study
- adaptive sampling
- confidence intervals
- particle filter
- monte carlo method
- matrix inversion
- probability density function
- stochastic approximation
- decision making
- simulated annealing
- feature space