Path integral Monte Carlo method for option pricing (Q2078655): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
Property / describes a project that uses | |||
Property / describes a project that uses: MersenneTwister / rank | |||
Normal rank |
Revision as of 13:07, 29 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Path integral Monte Carlo method for option pricing |
scientific article |
Statements
Path integral Monte Carlo method for option pricing (English)
0 references
1 March 2022
0 references
Black-Scholes
0 references
path integral
0 references
Markov chain Monte Carlo
0 references
Metropolis-Hastings
0 references
Asian options
0 references
non-Gaussian
0 references