Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion.
Bent Jesper ChristensenRolf PoulsenPublished in: Monte Carlo Methods Appl. (2001)
Keyphrases
- monte carlo
- importance sampling
- variance reduction
- markov chain
- confidence intervals
- estimation error
- simulation study
- stochastic approximation
- low variance
- monte carlo simulation
- particle filter
- monte carlo methods
- adaptive sampling
- unbiased estimator
- markovian decision
- monte carlo tree search
- search algorithm
- temporal difference
- matrix inversion
- monte carlo method
- machine learning
- least squares
- genetic algorithm