JDOI variance reduction method and the pricing of American-style options (Q5079357)
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scientific article; zbMATH DE number 7532604
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | JDOI variance reduction method and the pricing of American-style options |
scientific article; zbMATH DE number 7532604 |
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JDOI variance reduction method and the pricing of American-style options (English)
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27 May 2022
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American options
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Lévy models
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stochastic volatility
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variance reduction
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Monte Carlo methods
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0.7673596739768982
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0.7642780542373657
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0.7546019554138184
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0.7538586258888245
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0.7501115202903748
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