A general control variate method for Lévy models in finance
Year of publication: |
2020
|
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Authors: | Shiraya, Kenichiro ; Uenishi, Hiroki ; Yamazaki, Akira |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 284.2020, 3 (1.8.), p. 1190-1200
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Subject: | Control variate | Lévy process | Monte Carlo simulation | Path-dependent options | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Simulation |
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