scientific article; zbMATH DE number 7569345

DOI10.12941/jksiam.2021.25.082zbMath1497.91342MaRDI QIDQ5095418

Yongho Choi, Changwoo Yoo, Soobin Kwak, Youngjin Hwang, Sangkwon Kim, Junseok Kim

Publication date: 8 August 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

MCSELSBrownian bridge technique

Mathematics Subject Classification ID

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

Related Items (1)

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Cites Work

• On path integrals for the high-dimensional Brownian bridge
• Stochastic calculus for finance. II: Continuous-time models.
• Efficient Monte Carlo simulation of security prices
• Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Unnamed Item

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