PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (Q3005957): Difference between revisions
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| Property / cites work: Monte Carlo methods for security pricing / rank | |||
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| Property / cites work: Estimating Security Price Derivatives Using Simulation / rank | |||
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| Property / cites work: Conditioning on One-Step Survival for Barrier Option Simulations / rank | |||
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| Property / cites work: Q4821330 / rank | |||
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Latest revision as of 03:17, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS |
scientific article |
Statements
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (English)
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10 June 2011
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Monte Carlo simulation
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pricing
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Greeks
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variance reduction
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auto-callable
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trigger product
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target redemption note
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