Using the continuous price as control variate for discretely monitored options (Q433633): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6053453 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
path dependent options | |||
| Property / zbMATH Keywords: path dependent options / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
variance reduction | |||
| Property / zbMATH Keywords: variance reduction / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
control variate | |||
| Property / zbMATH Keywords: control variate / rank | |||
Normal rank | |||
Revision as of 00:28, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using the continuous price as control variate for discretely monitored options |
scientific article |
Statements
Using the continuous price as control variate for discretely monitored options (English)
0 references
5 July 2012
0 references
option pricing
0 references
path dependent options
0 references
variance reduction
0 references
control variate
0 references
