A general control variate method for option pricing under Lévy processes (Q132360)
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scientific article; zbMATH DE number 6119455
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A general control variate method for option pricing under Lévy processes |
scientific article; zbMATH DE number 6119455 |
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221
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2
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368-377
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September 2012
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29 December 2012
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A general control variate method for option pricing under Lévy processes (English)
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finance
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option pricing
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Lévy processes
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Monte Carlo simulation
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control variate
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numerical inversion
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0.9261744618415833
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0.836417019367218
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0.8151726722717285
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0.8119240403175354
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Wolfgang Hörmann
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Kemal Dinçer Dingeç
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