Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
| Year of publication: |
2009
|
|---|---|
| Authors: | Sabino, Piergiacomo |
| Published in: |
Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 32.2009, 1, p. 49-65
|
| Publisher: |
Springer |
| Subject: | Monte Carlo | Quasi-Monte Carlo | Option pricing | Path-generation techniques | Path-dependent options |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10004970903