Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Qiang Zhao; Guo Liu; Guiding Gu
Year of publication: |
2013
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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
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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 |
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