An efficient control variate method for pricing variance derivatives (Q711233)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An efficient control variate method for pricing variance derivatives |
scientific article; zbMATH DE number 5804870
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient control variate method for pricing variance derivatives |
scientific article; zbMATH DE number 5804870 |
Statements
An efficient control variate method for pricing variance derivatives (English)
0 references
25 October 2010
0 references
variance swap
0 references
stochastic volatility
0 references
Monte Carlo method
0 references
control variate
0 references
0 references
