Using the continuous price as control variate for discretely monitored options
Year of publication: |
2011
|
---|---|
Authors: | Dingeç, Kemal Dinçer ; Hörmann, Wolfgang |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 82.2011, 4, p. 691-704
|
Publisher: |
Elsevier |
Subject: | Option pricing | Path dependent options | Variance reduction | Control variate |
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