General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Nabil Kahalé
| Year of publication: |
2020
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|---|---|
| Authors: | Kahalé, Nabil |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 287.2020, 2 (1.12.), p. 739-748
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| Subject: | Asian option | Finance | Multilevel Monte Carlo method | Simulation | Variance reduction | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.04.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012293946