Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Michael B. Giles; Desmond J. Higham; Xuerong Mao
| Year of publication: |
2009
|
|---|---|
| Authors: | Giles, Michael B. ; Higham, Desmond J. ; Mao, Xuerong |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 3, p. 403-413
|
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Variationsrechnung | Variational method | Statistischer Fehler | Statistical error | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
| 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/10003899321