Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options.

Kemal Dinçer Dingeç Wolfgang Hörmann

Published in: WSC (2014)

Keyphrases

monte carlo methods
monte carlo
markov chain
importance sampling
monte carlo simulation
monte carlo method
particle filter
markovian decision
adaptive sampling
temporal difference
neural network
active learning
least squares
matrix inversion
quasi monte carlo