Improved variance reduced Monte-Carlo simulation of in-the-money options

Armin Müller

Year of publication:	August 2016
Authors:	Müller, Armin
Published in:	Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 3, p. 361-367
Subject:	Monte-Carlo Simulation \| Variance Reduction \| Importance Sampling \| Put-Call-Parity \| Asian Option \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionsgeschäft \| Option trading \| Simulation \| Optionspreistheorie \| Option pricing theory \| Varianzanalyse \| Analysis of variance \| Stichprobenerhebung \| Sampling

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