A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (Q4957242)
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scientific article; zbMATH DE number 7390943
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing |
scientific article; zbMATH DE number 7390943 |
Statements
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (English)
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3 September 2021
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option pricing
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European option
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digital option
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quasi-Monte Carlo method
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SABR model
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weak approximation
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stochastic differential equations
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Malliavin calculus
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