Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options.
Anson H. T. TseDavid B. ThomasKuen Hung TsoiWayne LukPublished in: FPL (2010)
Keyphrases
- monte carlo
- importance sampling
- monte carlo methods
- monte carlo simulation
- markov chain
- adaptive sampling
- monte carlo tree search
- simulation study
- option pricing
- variance reduction
- control system
- monte carlo method
- double exponential
- particle filter
- process control
- game tree search
- optimal strategy
- optimal control
- point processes
- black scholes model
- global illumination
- temporal difference
- adaptive control
- graphical models