Pricing exotic options using MSL-MC (Q2866370): Difference between revisions
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| Property / cites work: Multilevel Monte Carlo Path Simulation / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / cites work: Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients / rank | |||
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| Property / cites work: Q4942767 / rank | |||
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| Property / cites work: Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions / rank | |||
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Latest revision as of 04:37, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing exotic options using MSL-MC |
scientific article |
Statements
Pricing exotic options using MSL-MC (English)
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13 December 2013
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exotic options
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stochastic models
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derivative pricing models
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pricing of financial securities
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options pricing
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numerical methods for option pricing
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Monte Carlo methods
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