Efficient Monte Carlo option pricing under CEV model (Q5267914): Difference between revisions

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+Empirical analysis and calibration of the CEV process for pricing equity default swaps
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+The Pricing of Options and Corporate Liabilities
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+Estimating Security Price Derivatives Using Simulation
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+Control variates and conditional Monte Carlo for basket and Asian options
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+Monte Carlo Methods and Models in Finance and Insurance
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+A reliable numerical method to price arithmetic Asian options
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+Pricing Asian options in a stochastic volatility model with jumps
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+On subextension of pluriharmonic and plurisubharmonic functions
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