Exotic options pricing under special Lévy process models : a biased control variate method approach
Year of publication: |
2020
|
---|---|
Authors: | Jia, Jiayi ; Lai, Yongzeng ; Li, Lin ; Tan, Vinna |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-4
|
Subject: | Barrier option | Control variate methods | Lookback option | Monte Carlo and quasi-Monte Carlo methods | Option pricing | Variance reduction | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
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