Using the continuous price as control variate for discretely monitored options (Q433633): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6053453 / rank | |||
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| Property / zbMATH Keywords | |||
option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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| Property / zbMATH Keywords | |||
path dependent options | |||
| Property / zbMATH Keywords: path dependent options / rank | |||
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| Property / zbMATH Keywords | |||
variance reduction | |||
| Property / zbMATH Keywords: variance reduction / rank | |||
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| Property / zbMATH Keywords | |||
control variate | |||
| Property / zbMATH Keywords: control variate / rank | |||
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| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.matcom.2011.09.007 / rank | |||
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| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1973137132 / rank | |||
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| Property / cites work | |||
| Property / cites work: A Continuity Correction for Discrete Barrier Options / rank | |||
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| Property / cites work | |||
| Property / cites work: Connecting discrete and continuous path-dependent options / rank | |||
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| Property / cites work | |||
| Property / cites work: Q4433608 / rank | |||
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| Property / cites work | |||
| Property / cites work: Conditioning on One-Step Survival for Barrier Option Simulations / rank | |||
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| Property / cites work | |||
| Property / cites work: Q5423895 / rank | |||
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| Property / cites work | |||
| Property / cites work: Monte Carlo and quasi-Monte Carlo sampling / rank | |||
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| Property / cites work | |||
| Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / rank | |||
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| links / mardi / name | links / mardi / name | ||
Latest revision as of 11:14, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using the continuous price as control variate for discretely monitored options |
scientific article |
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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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