Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944)
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scientific article; zbMATH DE number 6374994
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| English | Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion |
scientific article; zbMATH DE number 6374994 |
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Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (English)
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28 November 2014
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Monte Carlo
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variance derivatives
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stochastic volatility
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control variate
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0.8359211087226868
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0.8008211255073547
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0.7961754202842712
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0.7929726243019104
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