Path integral Monte Carlo method for option pricing (Q2078655)
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scientific article; zbMATH DE number 7482393
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path integral Monte Carlo method for option pricing |
scientific article; zbMATH DE number 7482393 |
Statements
Path integral Monte Carlo method for option pricing (English)
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1 March 2022
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Black-Scholes
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path integral
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Markov chain Monte Carlo
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Metropolis-Hastings
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Asian options
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non-Gaussian
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