Fast Monte Carlo valuation of barrier options for jump diffusion processes.
Steve A. K. MetwallyAmir F. AtiyaPublished in: CIFEr (2003)
Keyphrases
- monte carlo
- diffusion processes
- markov chain
- diffusion process
- partial differential equations
- information diffusion
- denoising
- monte carlo simulation
- anisotropic diffusion
- steady state
- importance sampling
- markovian decision
- diffusion equation
- diffusion tensor
- scale spaces
- particle filter
- monte carlo tree search
- game tree
- total variation
- state space
- markov chain monte carlo
- social networks
- image restoration
- scale space
- higher order
- support vector machine
- structure tensor
- dynamic programming
- image segmentation