A new hybrid Monte Carlo simulation for Asian options pricing (Q5220733): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/00949655.2013.827681 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2169398107 / rank | |||
Normal rank | |||
Revision as of 23:31, 19 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)
0 references
27 March 2020
0 references
Monte Carlo simulation
0 references
arithmetic Asian options
0 references
Brownian bridge
0 references
variance reduction
0 references
multiple control variates
0 references
antithetic variates
0 references
