Exact retrospective Monte Carlo computation of arithmetic average Asian options (Q5421246): Difference between revisions

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-.1515/mcma.2007.008
@@ Property / DOI: 10.1515/mcma.2007.008 / rank @@
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+.1433
@@ Property / arXiv ID: 0704.1433 / rank @@
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@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
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+On the Lambert \(w\) function
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@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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+A note on the existence of unique equivalent martingale measures in a Markovian setting
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+Unbiased Monte Carlo evaluation of certain functional integrals
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+Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
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+Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
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+On the martingale property of stochastic exponentials
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@@ Property / DOI @@
+.1515/MCMA.2007.008
@@ Property / DOI: 10.1515/MCMA.2007.008 / rank @@
+Normal rank