Nearly exact option price simulation using characteristic functions
Year of publication: |
2012
|
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Authors: | Bernard, Carole ; Cui, Zhenyu ; McLeish, Don L. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-29
|
Subject: | Monte Carlo simulations | Fourier inversion | characteristic function | Parisian option | forward-start options | importance sampling | Heston stochastic volatility model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Experiment | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Volatilität | Volatility | Optionsgeschäft | Option trading |
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