Dimension reduction for pricing options under multidimensional Lévy processes
Junichi Imai
| Year of publication: |
2015
|
|---|---|
| Authors: | Imai, Junichi |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 1, p. 1-26
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| Subject: | Dimension reduction method | Multidimensional Lévy process | Quasi-Monte Carlo | Normal variance-mean mixture | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo 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/10010511558