A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213)
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scientific article; zbMATH DE number 6856765
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| English | A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models |
scientific article; zbMATH DE number 6856765 |
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (English)
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6 April 2018
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conditional Monte Carlo
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variance reduction
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dimension reduction
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partial integro-differential equation
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jump diffusions
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fast Fourier transform
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normal
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double-exponential
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0.93515354
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0.9312202
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0.91682106
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0.91422063
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0.91397923
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0.9078641
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