A general control variate method for option pricing under Lévy processes (Q132360): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q433632 |
Changed an Item |
||
Property / author | |||
Property / author: Wolfgang Hörmann / rank | |||
Normal rank |
Revision as of 03:04, 15 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A general control variate method for option pricing under Lévy processes |
scientific article |
Statements
221
0 references
2
0 references
368-377
0 references
September 2012
0 references
29 December 2012
0 references
A general control variate method for option pricing under Lévy processes (English)
0 references
finance
0 references
option pricing
0 references
Lévy processes
0 references
Monte Carlo simulation
0 references
control variate
0 references
numerical inversion
0 references