Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options.
Benjamin JourdainMohamed Karim SbaiPublished in: Monte Carlo Methods Appl. (2010)
Keyphrases
- monte carlo
- matrix inversion
- monte carlo simulation
- markovian decision
- importance sampling
- particle filter
- adaptive sampling
- monte carlo method
- monte carlo methods
- simulation study
- markov chain
- temporal difference
- monte carlo tree search
- stochastic approximation
- uct algorithm
- pipelined architecture
- optimal strategy
- confidence intervals
- markov chain monte carlo
- variance reduction
- active learning
- global illumination
- point processes
- quasi monte carlo