scientific article; zbMATH DE number 1999206

Publication date: 2 November 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

sensitivity discretization Monte Carlo method Monte Carlo simulation risk management American option quasi-Monte Carlo European option random number sample path variance reduction technique

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic growth models (91B62) Random number generation in numerical analysis (65C10)

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