A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model.
Idin NooraniFarshid MehrdoustAbdelaziz NasroallahPublished in: Math. Comput. Simul. (2021)
Keyphrases
- monte carlo simulation
- markov chain
- monte carlo
- markov model
- evaluation method
- cost function
- probabilistic model
- mathematical model
- objective function
- prior knowledge
- similarity measure
- sensitivity analysis
- modeling method
- input data
- linear model
- black scholes model
- bp neural network
- statistical model
- additive model
- prediction model
- state space
- parameter estimation
- em algorithm
- reconstruction method
- prior information
- test data
- energy function
- autoregressive
- search space
- pairwise
- search algorithm
- bayesian networks