Variance Reduction for Asian Options under a General Model Framework*
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Publication:4554735
DOI10.1093/rof/rfu005zbMath1417.91552OpenAlexW2000783338MaRDI QIDQ4554735
Wolfgang Hörmann, Kemal Dinçer Dingeç, Halis Sak
Publication date: 9 November 2018
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/rof/rfu005
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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