A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Year of publication: |
2020
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Authors: | Yamada, Toshihiro ; Yamamoto, Kenta |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 11, p. 1825-1837
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Subject: | Digital option | European option | Malliavin calculus | Option pricing | Quasi-Monte Carlo method | SABR model | Stochastic differential equations | Weak approximation | Experiment | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Analysis | Mathematical analysis | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
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