An introduction to multilevel Monte Carlo for option valuation.
Desmond J. HighamPublished in: Int. J. Comput. Math. (2015)
Keyphrases
- monte carlo
- real option
- markov chain
- importance sampling
- monte carlo simulation
- monte carlo methods
- simulation study
- decision making
- particle filter
- monte carlo tree search
- decision makers
- stochastic approximation
- adaptive sampling
- monte carlo method
- point processes
- uct algorithm
- markovian decision
- global illumination
- temporal difference
- optimal solution