Valuation of FX barrier options under stochastic volatility (Q1000409)
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scientific article; zbMATH DE number 5503448
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| English | Valuation of FX barrier options under stochastic volatility |
scientific article; zbMATH DE number 5503448 |
Statements
Valuation of FX barrier options under stochastic volatility (English)
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6 February 2009
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barrier options
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stochastic volatility
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Monte Carlo simulation
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variance reduction
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0.8305094838142395
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0.8049864172935486
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0.8018292188644409
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