Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Year of publication: |
2010
|
---|---|
Authors: | Becker, Martin |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 13.2009/10, 4, p. 35-61
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading |
-
Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Horvath, Akos, (2016)
-
Pricing discrete double barrier options with a numerical method
Rostan, Pierre, (2015)
-
An application of the put-call-parity to variance reduced Monte-Carlo option pricing
Müller, Armin, (2016)
- More ...
-
OUTSOURCING GERMAN CORPORATE REAL ESTATE VIA REITS
Becker, Martin, (2006)
-
Trends in German Institutional Real Estate Investment
Bone-Winkel, Stephan, (2005)
-
The weighted average cost of capital (WACC) of listed property companies
Eder, Matthias, (2004)
- More ...