A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Carl Chiarella, Christina Nikitopoulos Sklibosios & Erik Schlögl
| Year of publication: |
2007
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|---|---|
| Authors: | Chiarella, Carl ; Nikitopoulos, Christina Sklibosios ; Schlögl, Erik |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 5, p. 365-399
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| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10003637449