Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759)
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scientific article; zbMATH DE number 7474782
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions |
scientific article; zbMATH DE number 7474782 |
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Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (English)
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16 February 2022
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basket options
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Greeks
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time-changed Brownian motion
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Monte Carlo
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variance reduction
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randomized quasi-Monte Carlo
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