An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model (Q2924611)
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scientific article; zbMATH DE number 6365006
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model |
scientific article; zbMATH DE number 6365006 |
Statements
3 November 2014
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European options pricing
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stochastic volatility model
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conditional Monte Carlo simulation
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martingale control variates
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0.89188445
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0.88592106
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0.8818037
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0.8774917
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0.8710066
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0.87001264
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0.86776555
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An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model (English)
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