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A computational approach to financial option pricing using quasi Monte Carlo methods via variance reduction techniques
Mehrdoust, Farshid; Vajargah, Kianoush Fathi - In: Journal of mathematical finance 2 (2012) 2, pp. 195-198
Persistent link: https://www.econbiz.de/10009719240
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Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options
Mehrdoust, Farshid; Noorani, Idin - In: Annals of financial economics 15 (2020) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012642935