Efficient variance reduction for American call options using symmetry arguments
Year of publication: |
2021
|
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Authors: | Boire, François-Michel ; Reesor, R. Mark ; Stentoft, Lars |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 11, Art.-No. 504, p. 1-21
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Subject: | antithetic sampling | control variates | importance sampling | Monte Carlo simulation | put-call symmetry | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Derivat | Derivative | Optionsgeschäft | Option trading | Simulation | Varianzanalyse | Analysis of variance |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14110504 [DOI] 10.3390/jrfm14100504 [DOI] hdl:10419/258608 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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