Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo.
Ivan GuoGrégoire LoeperPublished in: J. Optim. Theory Appl. (2018)
Keyphrases
- monte carlo
- least squares
- markovian decision
- financial markets
- variance reduction
- policy evaluation
- matrix inversion
- markov chain
- monte carlo simulation
- importance sampling
- stock market
- upper bound
- monte carlo tree search
- monte carlo methods
- stock price
- monte carlo method
- parameter estimation
- linear programming
- point processes
- optical flow
- lower bound
- garch model
- particle filter
- stochastic approximation
- state space
- quasi monte carlo
- game tree search
- worst case
- financial crisis
- optimal strategy
- semi parametric
- machine learning
- feature space