Option pricing with the control variate technique beyond Monte Carlo simulation
Year of publication: |
2022
|
---|---|
Authors: | Chiu, Chun-Yuan ; Dai, Tian-Shyr ; Lyuu, Yuh-dauh ; Liu, Liang-Chih ; Chen, Yu-Ting |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-22
|
Subject: | Monte Carlo simulation | Binomial tree | Control variate | Convolution | Numerical algorithm | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Simulation |
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