Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
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Publication:1992683
DOI10.1155/2017/3912036zbMath1427.91299OpenAlexW2768947326MaRDI QIDQ1992683
Publication date: 5 November 2018
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/3912036
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
Cites Work
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