JDOI variance reduction method and the pricing of American-style options
Johan Auster, Ludovic Mathys and Fabio Maeder
| Year of publication: |
2022
|
|---|---|
| Authors: | Auster, Johan ; Mathys, Ludovic ; Maeder, Fabio |
| Subject: | American options | Lévy models | Monte Carlo methods | Stochastic volatility | Variance reduction | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1962959 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367843