Monte Carlo acceleration methods for pricing Asian options in high performance computation (Q5398763)
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scientific article; zbMATH DE number 6262728
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| English | Monte Carlo acceleration methods for pricing Asian options in high performance computation |
scientific article; zbMATH DE number 6262728 |
Statements
28 February 2014
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Monte Carlo method
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stochastic volatility
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control variate
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Asian options
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0.8304715752601624
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0.8125187158584595
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0.80950528383255
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0.8051981329917908
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0.804703414440155
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