A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance |
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A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (English)
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16 February 2018
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control variate
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asymptotic expansion
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multi-asset options
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Monte Carlo simulation
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stratified sampling
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