Stratified approximations for the pricing of options on average
Nicolas Privault and Jiadong Yu
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Privault, Nicolas ; Yu, Jiadong |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 4, p. 95-113
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| Subject: | Asian options | bond pricing | Dothan model | stratified sampling | numerical approximation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Anleihe | Bond | Stichprobenerhebung | Sampling | CAPM | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011603193