Monte Carlo applied to exotic digital options (Q4551195)
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scientific article; zbMATH DE number 1796821
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo applied to exotic digital options |
scientific article; zbMATH DE number 1796821 |
Statements
Monte Carlo applied to exotic digital options (English)
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5 September 2002
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mean-reverting process
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jump-diffusion process
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control variate method
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antithetic variate technique
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Monte Carlo simulations
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forward-neutral change of numeraire
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