A new hybrid Monte Carlo simulation for Asian options pricing (Q5220733): Difference between revisions
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Revision as of 19:20, 5 March 2024
scientific article; zbMATH DE number 7183082
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new hybrid Monte Carlo simulation for Asian options pricing |
scientific article; zbMATH DE number 7183082 |
Statements
A new hybrid Monte Carlo simulation for Asian options pricing (English)
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27 March 2020
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Monte Carlo simulation
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arithmetic Asian options
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Brownian bridge
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variance reduction
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multiple control variates
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antithetic variates
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