scientific article; zbMATH DE number 1079018
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Publication:4361192
zbMath0892.60074MaRDI QIDQ4361192
Jérôme Lebuchoux, Nizar Touzi, Eric Fournié
Publication date: 9 December 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
asymptotic expansionMonte Carlo simulationssecond-order differential operatorscomputation of European contingent claim pricessampling variance reduction procedure
Inference from stochastic processes and prediction (62M20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ A smooth estimator for MC/QMC methods in finance ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Variance reduction for Monte Carlo simulation in a stochastic volatility environment
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