Nearly exact option price simulation using characteristic functions
Carole Bernard, Zhenyu Cui and Don McLeish
| Year of publication: |
2012
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|---|---|
| Authors: | Bernard, Carole ; Cui, Zhenyu ; McLeish, Don L. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-29
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| Subject: | Monte Carlo simulations | Fourier inversion | characteristic function | Parisian option | forward-start options | importance sampling | Heston stochastic volatility model | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Optionsgeschäft | Option trading | Volatilität | Volatility | Derivat | Derivative | Stichprobenerhebung | Sampling |