Using the continuous price as control variate for discretely monitored options (Q433633): Difference between revisions
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / zbMATH DE Number: 6053453 / rank | |||
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option pricing | |||
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path dependent options | |||
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variance reduction | |||
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control variate | |||
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Revision as of 00:28, 30 June 2023
scientific article
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English | Using the continuous price as control variate for discretely monitored options |
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Using the continuous price as control variate for discretely monitored options (English)
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5 July 2012
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option pricing
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path dependent options
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variance reduction
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control variate
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