Using the continuous price as control variate for discretely monitored options (Q433633): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.matcom.2011.09.007
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+W1973137132
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@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
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@@ Property / cites work @@
+Connecting discrete and continuous path-dependent options
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+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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@@ Property / cites work @@
+Conditioning on One-Step Survival for Barrier Option Simulations
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+Q5423895
@@ Property / cites work: Q5423895 / rank @@
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+Monte Carlo and quasi-Monte Carlo sampling
@@ Property / cites work: Monte Carlo and quasi-Monte Carlo sampling / rank @@
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+Stochastic calculus for finance. II: Continuous-time models.
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@@ links / mardi / name / links / mardi / name @@
+Publication:433633