scientific article; zbMATH DE number 1790434
From MaRDI portal
Publication:4549500
zbMATH Open1002.91027MaRDI QIDQ4549500FDOQ4549500
Authors: Lars O. Dahl, Fred Espen Benth 
Publication date: 28 August 2002
Title of this publication is not available (Why is that?)
Recommendations
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- scientific article; zbMATH DE number 1875432
- Control variates and conditional Monte Carlo for basket and Asian options
- Efficient basket Monte Carlo option pricing via a simple analytical approximation
- Smoothing the payoff for efficient computation of Basket option prices
Cited In (4)
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- Control variates and conditional Monte Carlo for basket and Asian options
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4549500)
