An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
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Publication:5030552
DOI10.1080/00207160.2019.1584671zbMath1480.91317OpenAlexW2916042448WikidataQ128355520 ScholiaQ128355520MaRDI QIDQ5030552
Publication date: 17 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2019.1584671
stochastic volatilityoption pricingstochastic interest rateconditional Monte Carlomartingale control variate
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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