Exotic options pricing under special Lévy process models : a biased control variate method approach
Jiayi Jia, Yongzeng Lai, Lin Li, Vinna Tan
| Year of publication: |
2020
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| Authors: | Jia, Jiayi ; Lai, Yongzeng ; Li, Lin ; Tan, Vinna |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-4
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| Subject: | Barrier option | Control variate methods | Lookback option | Monte Carlo and quasi-Monte Carlo methods | Option pricing | Variance reduction | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.07.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436769