Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Anna Bottasso, Michelangelo Fusaro, Pier Giuseppe Giribone and Alessio Tissone
| Year of publication: |
2023
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|---|---|
| Authors: | Bottasso, Anna ; Fusaro, Michelangelo ; Giribone, Pier Giuseppe ; Tissone, Alessio |
| Subject: | Black-Scholes pricing model | Certificate pricing | Halton sequences | Heston pricing model | Local Volatility pricing model | Low Discrepancy Sequences (LDSs) | Quasi-Monte Carlo (QMC) | Sobol sequences | Stochastic Differential Equation (SDE) | Torus sequences | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | CAPM | Italien | Italy | Preis | Price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786323500214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014444661