Application of a control variate Monte Carlo method for pricing basket option under stochastic interest rates (Q5399840)
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scientific article; zbMATH DE number 6263670
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| English | Application of a control variate Monte Carlo method for pricing basket option under stochastic interest rates |
scientific article; zbMATH DE number 6263670 |
Statements
28 February 2014
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control variate
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basket option
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stochastic interest rate
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Monte Carlo method
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0.847044050693512
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0.837492048740387
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0.8035860657691956
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0.7976633906364441
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0.7950699329376221
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