Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Year of publication: |
2019
|
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Authors: | Filipović, Damir ; Glau, Kathrin ; Nakatsukasa, Yuji ; Statti, Francesco |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | Monte Carlo | Monte Carlo under budget constraints | variance reduction | multi-asset options | Kaczmarz algorithm | weighted sampling | large-scale least-squares problems | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method |
Extent: | 1 Online-Ressource (circa 31 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 19, 54 Swiss Finance Institute Research Paper ; No. 19-54 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3471164 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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