Publication:5399840

DOI10.3969/j.issn.1006-6330.2013.03.009zbMath1299.91174MaRDI QIDQ5399840

Yi Fu, Jizhou Zhang, Ze'Nan Weng

Publication date: 28 February 2014

zbMATH Keywords

Monte Carlo method; stochastic interest rate; control variate; basket option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

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