Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759)
From MaRDI portal
scientific article; zbMATH DE number 7474782
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions |
scientific article; zbMATH DE number 7474782 |
Statements
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (English)
0 references
16 February 2022
0 references
basket options
0 references
Greeks
0 references
time-changed Brownian motion
0 references
Monte Carlo
0 references
variance reduction
0 references
randomized quasi-Monte Carlo
0 references
