Multilevel Monte Carlo for exponential Lévy models.
Michael B. GilesYuan XiaPublished in: Finance Stochastics (2017)
Keyphrases
- monte carlo
- monte carlo simulation
- markov chain
- monte carlo methods
- importance sampling
- markovian decision
- point processes
- adaptive sampling
- optimal strategy
- simulation study
- particle filter
- objective function
- mathematical models
- model selection
- upper bound
- monte carlo tree search
- markov chain monte carlo
- variance reduction
- monte carlo method
- bayesian networks
- genetic algorithm