Variance derivatives pricing and control variate Monte Carlo method (Q3072844)
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scientific article; zbMATH DE number 5845883
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Variance derivatives pricing and control variate Monte Carlo method |
scientific article; zbMATH DE number 5845883 |
Statements
5 February 2011
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derivatives
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variance swap
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stochastic volatility
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Monte Carlo method
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control variate
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0.935903251171112
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0.8473021984100342
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0.8427224159240723
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0.8419392704963684
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