Pricing Lookback Options under Normal Inverse Gaussian Model by Variance Reduction and Randomized Quasi-Monte Carlo Methods.
Yongzeng LaiJilin ZhangPublished in: CSO (2014)
Keyphrases
- monte carlo methods
- variance reduction
- gaussian model
- monte carlo
- importance sampling
- conditional independence
- markov chain
- image intensity
- expectation maximization
- gaussian distribution
- bayesian networks
- gaussian mixture model
- mixture model
- skin color
- generalized gaussian
- background model
- particle filter
- graphical models
- confidence intervals
- dynamic programming