A Monte Carlo approach to American options pricing including counterparty risk.
Iñigo ArreguiBeatriz SalvadorCarlos VázquezPublished in: Int. J. Comput. Math. (2019)
Keyphrases
- monte carlo
- option pricing
- black scholes
- black scholes model
- double exponential
- monte carlo simulation
- markov chain
- importance sampling
- simulation study
- monte carlo methods
- monte carlo tree search
- point processes
- stock price
- particle filter
- monte carlo method
- stochastic approximation
- optimal strategy
- variance reduction
- adaptive sampling
- temporal difference
- risk management
- quasi monte carlo
- genetic algorithm
- matrix inversion
- game tree search
- financial markets
- support vector
- decision making