Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Alain Chateauneuf, Mina Mostoufi, and David Vyncke
| Year of publication: |
2016
|
|---|---|
| Authors: | Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 24.2016, 1, p. 18-28
|
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Risiko | Risk | Simulation |
| 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/10011687326