An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552): 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/10.1080/00207160.2019.1584671 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2916042448 / rank | |||
Normal rank | |||
Revision as of 01:32, 20 March 2024
scientific article; zbMATH DE number 7475947
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7475947 |
Statements
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (English)
0 references
17 February 2022
0 references
conditional Monte Carlo
0 references
martingale control variate
0 references
option pricing
0 references
stochastic volatility
0 references
stochastic interest rate
0 references
