A Monte-Carlo based approach for pricing credit default swaps with regime switching.
Xin-Jiang HeWenting ChenPublished in: Comput. Math. Appl. (2018)
Keyphrases
- monte carlo
- monte carlo simulation
- importance sampling
- markov chain
- monte carlo methods
- particle filter
- simulation study
- monte carlo method
- adaptive sampling
- global illumination
- markovian decision
- least squares
- quasi monte carlo
- point processes
- monte carlo tree search
- matrix inversion
- stochastic approximation
- optimal strategy