A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
Year of publication: |
2013
|
---|---|
Authors: | Alm, Thomas ; Harrach, Bastian von ; Harrach, Daphne ; Keller, Marco |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 17.2013, 1, p. 43-70
|
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
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