A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models
| Year of publication: |
2005
|
|---|---|
| Authors: | Chiarella, Carl ; Clewlow, Les ; Musti, Silvana |
| Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 161.2005, 2, p. 325-336
|
| Publisher: |
Elsevier |