A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 16:35, 5 March 2024
scientific article; zbMATH DE number 6856765
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models |
scientific article; zbMATH DE number 6856765 |
Statements
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (English)
0 references
6 April 2018
0 references
conditional Monte Carlo
0 references
variance reduction
0 references
dimension reduction
0 references
partial integro-differential equation
0 references
jump diffusions
0 references
fast Fourier transform
0 references
normal
0 references
double-exponential
0 references
