Efficient Monte Carlo pricing of European options using mean value control variates (Q1601356)
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scientific article; zbMATH DE number 1760612
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Monte Carlo pricing of European options using mean value control variates |
scientific article; zbMATH DE number 1760612 |
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Efficient Monte Carlo pricing of European options using mean value control variates (English)
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22 May 2003
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variance reduction method
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multifactor options
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