Multilevel Monte Carlo for exponential Lévy models
Michael B. Giles, Yuan Xia
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Giles, Michael B. ; Xia, Yuan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 4, p. 995-1026
|
| Subject: | Multilevel Monte Carlo | Exponential Lévy models | Asian options | Lookback options | Barrier options | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0341-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944462