Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Ling Zhang, Yongzeng Lai, Shuhua Zhang, Lin Li
| Year of publication: |
2019
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|---|---|
| Authors: | Zhang, Ling ; Lai, Yongzeng ; Zhang, Shuhua ; Li, Lin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 47.2019, p. 602-621
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| Subject: | (quasi-)Monte Carlo methods | Control variate methods | Option pricing | Subordinated Brownian motion | Variance reduction | 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 |
| Other identifiers: | 10.1016/j.najef.2018.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012120139