JDOI variance reduction method and the pricing of American-style options
Year of publication: |
2022
|
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Authors: | Auster, Johan ; Mathys, Ludovic ; Maeder, Fabio |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 639-656
|
Subject: | American options | Lévy models | Monte Carlo methods | Stochastic volatility | Variance reduction | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
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