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

Despite being an essential tool across engineering and finance, Monte Carlo simulation can be computationally intensive, especially in large-scale, path-dependent problems that hinder straightforward parallelization. A natural alternative is to replace simulation with machine learning or surrogate p...

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Veröffentlicht in:	arXiv.org 2024-12
Hauptverfasser:	Li, Fengpei, Chen, Haoxian, Lin, Jiahe, Gupta, Arkin, Tan, Xiaowei, Xu, Gang, Nevmyvaka, Yuriy, Capponi, Agostino, Lam, Henry
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer simulation Effectiveness Machine learning Monte Carlo simulation Neural networks Pricing Sample variance
Online-Zugang:	Volltext
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