An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Fei Xie, Zhijian He, Xiaoqun Wang
| Year of publication: |
2019
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|---|---|
| Authors: | Xie, Fei ; He, Zhijian ; Wang, Xiaoqun |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 274.2019, 2 (16.4.), p. 759-772
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| Subject: | Simulation | Importance sampling | Quasi-Monte Carlo | Discrete barrier option | Smoothing | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.10.030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990222