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

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Publication:4593695
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zbMATH Open1380.91141MaRDI QIDQ4593695FDOQ4593695

Giovanni Villani

Publication date: 22 November 2017





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zbMATH Keywords

samplingvariance reductionMonte Carlo simulationsexchange options


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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