On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach.
Perpetual Andam BoiquayePublished in: Adv. Data Sci. Adapt. Anal. (2020)
Keyphrases
- monte carlo
- option pricing
- markov chain
- black scholes model
- monte carlo simulation
- importance sampling
- monte carlo methods
- simulation study
- particle filter
- monte carlo method
- adaptive sampling
- monte carlo tree search
- optimal strategy
- uct algorithm
- markovian decision
- quasi monte carlo
- matrix inversion
- stochastic approximation
- point processes
- game tree search
- variance reduction
- probabilistic model
- bayesian networks