Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759)
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scientific article; zbMATH DE number 7474782
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| English | Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions |
scientific article; zbMATH DE number 7474782 |
Statements
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (English)
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16 February 2022
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basket options
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Greeks
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time-changed Brownian motion
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Monte Carlo
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variance reduction
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randomized quasi-Monte Carlo
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0.8285687565803528
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0.8156523704528809
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0.7976633906364441
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0.7868976593017578
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0.7802042961120605
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