scientific article; zbMATH DE number 1790434

MaRDI QIDQ4549500zbMATHFDO

Authors Lars O. Dahl, Fred Espen Benth

Publication date 28 August 2002

zbMATH Keywords

singular value decompositionquasi Monte Carlo methodnoise term

Mathematics Subject Classification ID

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)

• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Control variates and conditional Monte Carlo for basket and Asian options
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations

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)