Monte Carlo methods for security pricing (Q2771104)
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scientific article; zbMATH DE number 1705214
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo methods for security pricing |
scientific article; zbMATH DE number 1705214 |
Statements
25 August 2002
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variance
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control variates
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Monte Carlo method
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Monte Carlo methods for security pricing (English)
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The authors focus extensively on the use of Monte Carlo methods for pricing. It is also applicable to risk management. A number of theorems and lemmas are proposed for theoretical development. The developed algorithms will be useful for solving problems which were long thought to be computationally intractable. It is an interesting paper for researchers in the numerical analysis area.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
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