Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process (Q2940772)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process |
scientific article |
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Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process (English)
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20 January 2015
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derivative pricing
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path dependent derivatives
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continuous-time Markov chains
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Monte Carlo simulation
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variance reduction by conditioning
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