Pages that link to "Item:Q2443219"
From MaRDI portal
The following pages link to Control variates and conditional Monte Carlo for basket and Asian options (Q2443219):
Displaying 12 items.
- Efficient Monte Carlo pricing of European options using mean value control variates (Q1601356) (← links)
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting (Q1639548) (← links)
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (Q1643844) (← links)
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) (← links)
- Efficient basket Monte Carlo option pricing via a simple analytical approximation (Q1936188) (← links)
- Expected shortfall computation with multiple control variates (Q2293929) (← links)
- A new control variate estimator for an Asian option (Q2431779) (← links)
- Variance Reduction for Asian Options under a General Model Framework* (Q4554735) (← links)
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- Efficient Monte Carlo option pricing under CEV model (Q5267914) (← links)
- Control variate methods and applications to Asian and basket options pricing under jump-diffusion models (Q5382642) (← links)
