Efficient basket Monte Carlo option pricing via a simple analytical approximation (Q1936188)
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scientific article; zbMATH DE number 6138090
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient basket Monte Carlo option pricing via a simple analytical approximation |
scientific article; zbMATH DE number 6138090 |
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Efficient basket Monte Carlo option pricing via a simple analytical approximation (English)
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21 February 2013
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options based on arithmetic averages
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sum of log-normal distributions
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Monte Carlo method
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Black-Scholes model
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variance reduction methods
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