Monte Carlo methods for pricing and hedging American options in high dimension.
Lucia CaramellinoAntonino ZanettePublished in: Risk Decis. Anal. (2011)
Keyphrases
- high dimension
- monte carlo methods
- option pricing
- monte carlo
- stock price
- real valued
- high dimensional
- feature selection
- feature space
- input space
- bayesian networks
- small sample
- real option
- convertible bonds
- financial markets
- simulated annealing
- monte carlo method
- high dimensional data
- low dimensional
- genetic algorithm
- support vector machine
- evolutionary algorithm
- dynamic programming
- closed form
- random variables