Option pricing with the control variate technique beyond Monte Carlo simulation
Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, Liang-Chih Liu, Yu-Ting Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Chiu, Chun-Yuan ; Dai, Tian-Shyr ; Lyuu, Yuh-dauh ; Liu, Liang-Chih ; Chen, Yu-Ting |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-22
|
| Subject: | Monte Carlo simulation | Binomial tree | Control variate | Convolution | Numerical algorithm | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Simulation | Algorithmus | Algorithm | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101772 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539074