A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Year of publication: |
2014-08-01
|
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Authors: | Heath, David ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
Subject: | Multi-factor diffusion | Monte Carlo methods | diversified equity index | pricing PDE | exact simulation | variance reduction | benchmark approach |
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