A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Duy-Minh Dang, Kenneth R. Jackson and Scott Sues
| Year of publication: |
September 2017
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| Authors: | Dang, Duy Minh ; Jackson, Kenneth R. ; Sues, Scott |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 3/4, p. 175-215
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| Subject: | Conditional Monte Carlo | variance reduction | dimension reduction | partial integro-differential equation | jump diffusions | fast Fourier transform | normal | double-exponential | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1358646 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815225