A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Kenichiro Shiraya, Akihiko Takahashi
| Year of publication: |
1 April 2017
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| Authors: | Shiraya, Kenichiro ; Takahashi, Akihiko |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 258.2017, 1 (1.4.), p. 358-371
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| Subject: | Control variate | Asymptotic expansion | Multi-asset options | Monte Carlo simulation | Stratified sampling | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Stichprobenerhebung | Sampling | Optionsgeschäft | Option trading |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.08.060 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642221