An efficient Monte Carlo method for discrete variance contracts
Nicolas Merener and Leonardo Vicchi
| Year of publication: |
2015
|
|---|---|
| Authors: | Merener, Nicolas ; Vicchi, Leonardo |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/15, 3, p. 1-25
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| Subject: | variance swaps | realized variance | Monte Carlo simulation | variance reduction techniques | stratification | Monte-Carlo-Simulation | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| 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://ebvufind01.dmz1.zbw.eu/10011298488