PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (Q3005957)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS |
scientific article |
Statements
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (English)
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10 June 2011
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Monte Carlo simulation
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pricing
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Greeks
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variance reduction
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auto-callable
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trigger product
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target redemption note
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