An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7475947
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7475947 |
Statements
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (English)
0 references
17 February 2022
0 references
conditional Monte Carlo
0 references
martingale control variate
0 references
option pricing
0 references
stochastic volatility
0 references
stochastic interest rate
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8747614026069641
0 references
0.8598328232765198
0 references
0.8271315693855286
0 references
0.8242594003677368
0 references
0.8178739547729492
0 references
