Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Qiang Zhao; Guo Liu; Guiding Gu
| Year of publication: |
2013
|
|---|---|
| Authors: | Zhao, Qiang ; Liu, Guo ; Gu, Guiding |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 4, p. 431-436
|
| Subject: | Monte Carlo Method | Importance Sampling | Variance Reduction | Option Pricing | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| 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/10010239518