Convergence of the Least Squares Monte Carlo Approach to American Option Valuation.
Lars StentoftPublished in: Manag. Sci. (2004)
Keyphrases
- monte carlo
- least squares
- stochastic approximation
- policy evaluation
- real option
- importance sampling
- markov chain
- monte carlo simulation
- adaptive sampling
- monte carlo methods
- markovian decision
- monte carlo tree search
- matrix inversion
- monte carlo method
- convergence rate
- simulation study
- parameter estimation
- particle filter
- point processes
- variance reduction
- ls svm
- decision makers
- optical flow
- search space