Monte Carlo methods for derivatives of options with discontinuous payoffs.

Jérôme Detemple Marcel Rindisbacher

Published in: Comput. Stat. Data Anal. (2007)

Keyphrases

monte carlo methods
payoff functions
monte carlo
bayesian networks
higher order
game theory
incomplete information
simulated annealing
reinforcement learning
multiresolution
supervised learning
super resolution
nash equilibrium
monte carlo method