Combining Monte Carlo Filters with Support Vector Machines for Option Price Forecasting.

Shian-Chang Huang Tung-Kuang Wu

Published in: RSCTC (2006)

Keyphrases

monte carlo
importance sampling
markov chain
monte carlo simulation
monte carlo methods
particle filter
simulation study
adaptive sampling
markovian decision
matrix inversion
stochastic approximation
optimal strategy
global illumination
monte carlo tree search
point processes
game tree search
temporal difference