Duan, Jin-Chuan; Simonato, Jean-Guy - Centre Interuniversitaire de Recherche en Analyse des … - 1995
derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset … price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated … simulation de Monte Carlo. La modification impose la propriété de martingale aux trajectoires simulées de la variable d'état sous …