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Search: subject:"Parisian times"
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Monte Carlo simulation
2
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Option pricing theory
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Option trading
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Optionsgeschäft
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Optionspreistheorie
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Parisian times
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first hitting time
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Adaptive control variable
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Bayes estimator
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Derivat
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European option pricing
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Parisian options
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Stochastic process
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Stochastischer Prozess
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adaptive control variate
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boundary crossing probabilities
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empirical estimator
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exotic option pricing
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inverse first passage times
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perturbation of the boundary
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Gür, Sercan
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Gűr, Sercan
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The journal of computational finance
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ECONIS (ZBW)
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Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan
-
2019
Persistent link: https://www.econbiz.de/10012197036
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An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
Gűr, Sercan
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012295871
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