Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate

Fuente: arXiv

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Bibliographic Details
Main Authors:	Li, Fengpei, Chen, Haoxian, Lin, Jiahe, Gupta, Arkin, Tan, Xiaowei, Zhao, Honglei, Xu, Gang, Nevmyvaka, Yuriy, Capponi, Agostino, Lam, Henry
Format:	Preprint
Published:	2024
Subjects:	Machine Learning Computational Engineering, Finance, and Science Pricing of Securities
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2412.11257