Unbiased simulation of Asian options
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Cites work
- A probabilistic interpretation of the parametrix method
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
- Exact retrospective Monte Carlo computation of arithmetic average Asian options
- Exact simulation of diffusions
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Functional Itô calculus
- Functional Itō calculus and stochastic integral representation of martingales
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2238099 (Why is no real title available?)
- Multilevel Monte Carlo Path Simulation
- On viscosity solutions of path dependent PDEs
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
- Retrospective exact simulation of diffusion sample paths with applications
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- The value of an Asian option
- Unbiased estimation with square root convergence for SDE models
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Unbiased simulation of stochastic differential equations
- Unbiased simulation of stochastic differential equations using parametrix expansions
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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