Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber (Q3565102)
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scientific article; zbMATH DE number 5713112
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| English | Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber |
scientific article; zbMATH DE number 5713112 |
Statements
Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber (English)
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27 May 2010
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bridge Monte Carlo methods
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simulation bias
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barrier options
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NIG process
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VG process
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0.9499339
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0.86846256
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0.8462592
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0.84525716
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0.8360882
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0.8353326
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