European basket option pricing by maximizing over a subset of lower bounds (Q2862816)
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scientific article; zbMATH DE number 6228787
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|---|---|---|---|
| default for all languages | No label defined |
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| English | European basket option pricing by maximizing over a subset of lower bounds |
scientific article; zbMATH DE number 6228787 |
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European basket option pricing by maximizing over a subset of lower bounds (English)
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19 November 2013
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European basket option
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Monte Carlo simulations
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antithetic variables
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conditioning
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variance reduction
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0.8392037153244019
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0.8283909559249878
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0.8134282827377319
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0.8049026131629944
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0.8037528991699219
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