Efficient Monte Carlo option pricing under CEV model (Q5267914)
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scientific article; zbMATH DE number 6730529
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Monte Carlo option pricing under CEV model |
scientific article; zbMATH DE number 6730529 |
Statements
Efficient Monte Carlo option pricing under CEV model (English)
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13 June 2017
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Asian option
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CEV model
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Monte Carlo simulation
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variance reduction
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