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  • Search: subject:"variance reduction methods"
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Year of publication
Subject
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option pricing 2 variance reduction methods 2 Black and Scholes model 1 Lévy process 1 Monte Carlo method 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Simulation Monte Carlo 1 Stochastic process 1 Stochastischer Prozess 1 confidence interval 1 finance 1 jump diffusionprocess 1 normal inverse Gaussian model 1 options 1 variance gamma model 1
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Online availability
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Free 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Czech 1 English 1
Author
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Lai, Yongzeng 1 Li, Zhongfei 1 Tichý, Tomáš 1 Zeng, Yan 1
Published in...
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IMA journal of management mathematics 1 Politická ekonomie 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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Examination of selected improvement approaches to Monte Carlo simulation in option pricing
Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794
In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful....
Persistent link: https://www.econbiz.de/10008754960
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