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  • Search: person:"Mäder, Fabio"
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Year of publication
Subject
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Option pricing theory 2 Optionspreistheorie 2 American options 1 Lévy models 1 Monte Carlo methods 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Option trading 1 Optionsgeschäft 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Variance reduction 1 Volatility 1 Volatilität 1
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Auster, Johan 2 Mathys, Ludovic 2 Maeder, Fabio 1 Mäder, Fabio 1
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Quantitative finance 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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JDOI Variance Reduction Method and the Pricing of American-Style Options
Auster, Johan; Mathys, Ludovic; Mäder, Fabio - 2021
The present article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in [HP02] and extends its theoretical concept to the pricing of American-style options under (time-homogeneous) Lévy stochastic differential equations. The resulting Jump...
Persistent link: https://www.econbiz.de/10013235500
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Cover Image
JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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