A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
Thomas Alm; Bastian Harrach; Daphne Harrach; Marco Keller
| Year of publication: |
2013
|
|---|---|
| Authors: | Alm, Thomas ; Harrach, Bastian von ; Harrach, Daphne ; Keller, Marco |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 17.2013, 1, p. 43-70
|
| Subject: | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Algorithmus | Algorithm | Simulation |
| 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/10010337818