A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Christoph Aistleitner, Markus Hofer and Robert Tichy
| Year of publication: |
2012
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|---|---|
| Authors: | Aistleitner, Christoph ; Hofer, Markus ; Tichy, Robert F. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-20
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| Subject: | Monte Carlo | variance reduction techniques | Latin hypercube sampling | option pricing | variance gamma | probabilistic methods | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009685903