Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150
-adjusted valuation can be relatively easy to implement, it is a well-known challenge that the convergence and the desired accuracy can … only be achieved at the cost of lengthy computational times. In this paper, we study the convergence of Monte Carlo methods … instruments. We further define two new concepts, absolute convergence and relative convergence, and show that while the …