A Monte-Carlo Option-Pricing Algorithm for Log-Uniform Jump-Diffusion Model.

Zongwu Zhu Floyd B. Hanson

Published in: CDC/ECC (2005)

Keyphrases

monte carlo
markov chain
importance sampling
diffusion model
learning algorithm
option pricing
optimal solution
monte carlo simulation
dynamic programming
objective function
computational complexity
probabilistic model
anisotropic diffusion
game tree
monte carlo tree search