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A joint application of the put-call-parity and importance sampling to variance reduced option pricing
Müller, Armin - 2016
Persistent link: https://www.econbiz.de/10011517497
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An application of the put-call-parity to variance reduced Monte-Carlo option pricing
Müller, Armin - 2016
Persistent link: https://www.econbiz.de/10011479909
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Approximations of option price elasticities for importance sampling
Müller, Armin - 2016
Persistent link: https://www.econbiz.de/10011569081
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Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367
Persistent link: https://www.econbiz.de/10011583475