New control variates for pricing basket options
Kam Jipreze and Paresh Date
| Year of publication: |
2025
|
|---|---|
| Authors: | Jipreze, Kam ; Date, Paresh |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 36.2025, 1, p. 111-133
|
| Subject: | finance | simulation | stochastic processes | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpae023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015333130