A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 17:39, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model |
scientific article |
Statements
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (English)
0 references
6 March 2021
0 references
regime switching models
0 references
Asian option pricing
0 references
Monte-Carlo simulation
0 references
variance reduction methods
0 references
