Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974)
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scientific article; zbMATH DE number 5559487
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Monte Carlo methods for derivatives of options with discontinuous payoffs |
scientific article; zbMATH DE number 5559487 |
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Monte Carlo methods for derivatives of options with discontinuous payoffs (English)
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29 May 2009
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simulation
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derivative estimation
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Malliavin weight
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covariation
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likelihood ratio
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weak convergence
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second-order bias
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0.8997495174407959
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0.8027104139328003
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0.802139937877655
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0.8000578284263611
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0.79888516664505
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