A Monte Carlo approach to value exchange options using a single stochastic factor

MaRDI QIDQ4593695zbMATH OpenFDO

Authors Giovanni Villani

Publication date 22 November 2017

zbMATH Keywords

exchange optionsMonte Carlo simulationssamplingvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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