Efficient basket Monte Carlo option pricing via a simple analytical approximation (Q1936188): Difference between revisions
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Revision as of 06:16, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient basket Monte Carlo option pricing via a simple analytical approximation |
scientific article |
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Efficient basket Monte Carlo option pricing via a simple analytical approximation (English)
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21 February 2013
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options based on arithmetic averages
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sum of log-normal distributions
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Monte Carlo method
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Black-Scholes model
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variance reduction methods
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