An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
Chengfeng Weng, Xiaoqun Wang, Zhijian He
| Year of publication: |
1 October 2016
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| Authors: | Weng, Chengfeng ; Wang, Xiaoqun ; He, Zhijian |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 1 (1.10.), p. 304-311
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| Subject: | Pricing | QMC | OT method | QR decomposition | Auto-realignment method | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.03.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011503307