A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Year of publication: |
2007
|
---|---|
Authors: | Lindset, Snorre ; Lund, Arne-Christian |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 13.2007, 5/6, p. 545-564
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
-
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre, (2007)
-
Using simulations to price compound options and calculate partial differentials
Siddiqi, Mazhar A., (2000)
-
A risk-neutral stochastic volatility model
Zhu, Yingzi, (1998)
- More ...
-
Optimal information acquisition for a linear quadratic control problem
Lindset, Snorre, (2009)
-
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre, (2007)
-
Credit spreads and incomplete information
Lindset, Snorre, (2008)
- More ...