Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Pavel V. Shevchenko
| Year of publication: |
2003
|
|---|---|
| Authors: | Shevchenko, Pavel V. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 6.2003, 3, p. 1-20
|
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Optionsgeschäft | Option trading | Systematischer Fehler | Bias |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The journal of computational finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001753388