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Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion.
Junmei Ma
Chenglong Xu
Published in:
Int. J. Comput. Math. (2014)
Keyphrases
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monte carlo
monte carlo simulation
monte carlo method
monte carlo methods
probabilistic model
computational cost
variance reduction
importance sampling
simulation study
adaptive sampling
markov chain
objective function
bayesian framework
parameter estimation
model selection
dynamic programming
learning algorithm