Empirical Martingale Simulation for Asset Prices (Q2784025)

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Empirical Martingale Simulation for Asset Prices
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    title
    Empirical Martingale Simulation for Asset Prices (English)
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    publication date
    1998
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    60G44
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    zbMATH DE Number
    1731057
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    zbMATH Keywords
    martingale
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    option pricing
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    Monte Carlo simulation
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    GARCH
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    Asian options
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    author
    Jin-Chuan Duan
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    Jean-Guy Simonato
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