NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542)
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scientific article; zbMATH DE number 6125922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS |
scientific article; zbMATH DE number 6125922 |
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NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (English)
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16 January 2013
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Monte Carlo simulations
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Fourier inversion
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characteristic function
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Parisian option
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forward-start options
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importance sampling
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Heston stochastic volatility model
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