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Efficient Monte Carlo-based options pricing on graphics processors and its optimizations.
Li Liu
Youhui Zhang
Li Liu
Guangwen Yang
Weimin Zheng
Published in:
Sci. China Inf. Sci. (2010)
Keyphrases
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monte carlo
graphics processors
markov chain
monte carlo simulation
importance sampling
monte carlo methods
monte carlo tree search
adaptive sampling
particle filter
matrix inversion
markovian decision
dynamic programming
variance reduction
machine learning
point processes