Efficient Monte Carlo Pricing of Basket Options
Year of publication: |
1998-01-16
|
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Authors: | Pellizzari, P. |
Institutions: | EconWPA |
Subject: | Option pricing | Monte Carlo methods | Variance reduction | Basket options |
Extent: | application/pdf application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - Tex (OzTex for Mac); prepared on Macintosh 6100; to print on PostScript; pages: 10; figures: 1 (included) 10 pages |
Classification: | C8 - Data Collection and Data Estimation Methodology; Computer Programs |
Source: |
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