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Out-of-the-money monte carlo simulation option pricing: the joint use of importance sampling and descriptive sampling.
Eduardo Saliby
Jaqueline T. M. Marins
Josete F. dos Santos
Published in:
WSC (2005)
Keyphrases
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importance sampling
monte carlo simulation
monte carlo
option pricing
markov chain
stock price
decision analysis
particle filter
markov chain monte carlo
black scholes model
decision makers
pairwise
evolutionary algorithm
visual tracking
particle filtering