An efficient control variate method for pricing variance derivatives (Q711233)
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scientific article; zbMATH DE number 5804870
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| default for all languages | No label defined |
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| English | An efficient control variate method for pricing variance derivatives |
scientific article; zbMATH DE number 5804870 |
Statements
An efficient control variate method for pricing variance derivatives (English)
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25 October 2010
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variance swap
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stochastic volatility
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Monte Carlo method
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control variate
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0.935903251171112
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0.8474427461624146
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0.8343018293380737
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0.8319558501243591
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0.8065812587738037
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