On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes.
Guangxin JiangChenglong XuMichael C. FuPublished in: Oper. Res. Lett. (2016)
Keyphrases
- approximation algorithms
- importance sampling
- worst case
- constant factor
- monte carlo
- np hard
- special case
- vertex cover
- optimal solution
- approximation guarantees
- parameter estimation
- markov chain
- particle filter
- kalman filter
- higher order
- markov chain monte carlo
- approximation ratio
- particle filtering
- financial markets
- sample size
- maximum likelihood
- dynamic programming
- computational complexity
- learning algorithm
- search space
- bayesian networks