Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Yongzeng Lai; Zhongfei Li and Yan Zeng
| Year of publication: |
2015
|
|---|---|
| Authors: | Lai, Yongzeng ; Li, Zhongfei ; Zeng, Yan |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 1, p. 11-37
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| Subject: | finance | option pricing | Monte Carlo method | variance reduction methods | jump diffusionprocess | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| 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/10011376988