Empirical Martingale Simulation for Asset Prices
Year of publication: |
1998
|
---|---|
Authors: | Duan, Jin-Chuan ; Simonato, Jean-Guy |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 44.1998, 9, p. 1218-1233
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Martingale | Option Pricing | Monte Carlo Simulation | GARCH | Asian Options |
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