An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552): Difference between revisions
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Latest revision as of 14:41, 14 September 2024
scientific article; zbMATH DE number 7475947
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7475947 |
Statements
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (English)
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17 February 2022
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conditional Monte Carlo
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martingale control variate
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option pricing
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stochastic volatility
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stochastic interest rate
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