A Monte Carlo approach to value exchange options using a single stochastic factor (Q4593695)
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scientific article; zbMATH DE number 6811496
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| English | A Monte Carlo approach to value exchange options using a single stochastic factor |
scientific article; zbMATH DE number 6811496 |
Statements
22 November 2017
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exchange options
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Monte Carlo simulations
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variance reduction
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sampling
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0.7713304758071899
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0.7530481219291687
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0.7522606253623962
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