Variance reduction for Asian options under a general model framework (Q4554735)
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scientific article; zbMATH DE number 6975900
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Variance reduction for Asian options under a general model framework |
scientific article; zbMATH DE number 6975900 |
Statements
Variance Reduction for Asian Options under a General Model Framework* (English)
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9 November 2018
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variance reduction
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Asian options
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Lévy processes
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Heston stochastic volatility
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regime switching models
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0.854199230670929
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0.8499374985694885
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0.8355222940444946
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0.8263382315635681
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0.826322615146637
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