Using the continuous price as control variate for discretely monitored options (Q433633): Difference between revisions
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Property / cites work: A Continuity Correction for Discrete Barrier Options / rank | |||
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Property / cites work: Connecting discrete and continuous path-dependent options / rank | |||
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Latest revision as of 10:14, 5 July 2024
scientific article
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English | Using the continuous price as control variate for discretely monitored options |
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Using the continuous price as control variate for discretely monitored options (English)
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5 July 2012
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option pricing
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path dependent options
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variance reduction
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control variate
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