Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
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Publication:4639250
DOI10.21914/anziamj.v52i0.3946zbMath1386.91157OpenAlexW1929078935MaRDI QIDQ4639250
Eckhard Platen, Leunglung Chan, Jan Baldeaux
Publication date: 8 May 2018
Published in: ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21914/anziamj.v52i0.3946
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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