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  • Search: subject:"Monte Carlo and Quasi-Monte Carlo methods"
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Subject
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Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Option pricing 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Barrier option 1 Black-Scholes model 1 Black-Scholes-Modell 1 Computational Finance 1 Control variate method 1 Control variate methods 1 Derivat 1 Derivative 1 European option pricing 1 Lookback option 1 Monte Carlo and Quasi Monte Carlo methods 1 Monte Carlo and Quasi-Monte Carlo methods 1 Monte Carlo and quasi-Monte Carlo methods 1 Multi-factor stochastic volatility models 1 Multivariate approximation and integration 1 Sparse grids 1 Stochastic Collocation methods 1 Variance reduction 1
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Article 3
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Lai, Yongzeng 2 Bayer, Christian 1 Han, Chuan-Hsiang 1 Jia, Jiayi 1 Li, Lin 1 Siebenmorgen, Markus 1 Tan, Vinna 1 Tempone, Raul 1
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Published in...
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Finance research letters 1 Mathematics and Computers in Simulation (MATCOM) 1 Quantitative finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
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Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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A smooth estimator for MC/QMC methods in finance
Han, Chuan-Hsiang; Lai, Yongzeng - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 536-550
We investigate the effect of martingale control as a smoother for MC/QMC methods. Numerical results of estimating low-biased solutions for American put option prices under the Black–Scholes model demonstrate that using QMC methods can be problematic. But it can be fixed by adding a (local)...
Persistent link: https://www.econbiz.de/10010750228
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