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scientific article; zbMATH DE number 1079018
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scientific article; zbMATH DE number 1079018

    Statements

    author
    Eric Fournié
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    Jérôme Lebuchoux
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    Nizar Touzi
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    publication date
    9 December 1997
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    Mathematics Subject Classification ID
    60H15
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    91G80
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    62M20
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    zbMATH DE Number
    1079018
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    zbMATH Keywords
    second-order differential operators
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    asymptotic expansion
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    computation of European contingent claim prices
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    Monte Carlo simulations
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    sampling variance reduction procedure
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