Efficient Monte Carlo pricing of European options using mean value control variates
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Publication:1601356
DOI10.1007/s102030170002zbMath1010.91051OpenAlexW1978405907MaRDI QIDQ1601356
Publication date: 22 May 2003
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s102030170002
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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