A fast Monte Carlo scheme for additive processes and option pricing
Michele Azzone, Roberto Baviera
| Year of publication: |
2023
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|---|---|
| Authors: | Azzone, Michele ; Baviera, Roberto |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 20.2023, 1, Art.-No. 31, p. 1-34
|
| Subject: | Additive process | Fast Fourier transform | Lewis formula | Simulation | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-023-00463-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014393374