A hybrid Monte Carlo acceleration method of pricing basket options based on splitting.

Yongchao Sun Chenglong Xu

Published in: J. Comput. Appl. Math. (2018)

Keyphrases

monte carlo
monte carlo simulation
simulation study
support vector machine
monte carlo method
machine learning
feature selection
objective function
computational cost
markov chain
parameter estimation
convergence rate
importance sampling
monte carlo methods
black scholes model