Wang, Hengxu; O’Hara, John G.; Constantinou, Nick - In: Mathematics and Computers in Simulation (MATCOM) 109 (2015) C, pp. 130-152
enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the … model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500. …