Empirical Martingale Simulation for Asset Prices
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Publication:2784025
DOI10.1287/mnsc.44.9.1218zbMath0989.91533OpenAlexW2105076382MaRDI QIDQ2784025
Jin-Chuan Duan, Jean-Guy Simonato
Publication date: 1998
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.44.9.1218
Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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