A martingale control variate method for option pricing with stochastic volatility (Q5429590)
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scientific article; zbMATH DE number 5216869
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A martingale control variate method for option pricing with stochastic volatility |
scientific article; zbMATH DE number 5216869 |
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A martingale control variate method for option pricing with stochastic volatility (English)
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30 November 2007
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option pricing
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Monte Carlo
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control variates
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stochastic volatility
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multiscale asymptotics
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