A general control variate method for option pricing under Lévy processes
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Publication:132360
DOI10.1016/j.ejor.2012.03.046zbMath1253.91177OpenAlexW2079846246MaRDI QIDQ132360
Wolfgang Hörmann, Kemal Dinçer Dingeç, Kemal Dinçer Dingeç, Wolfgang Hörmann
Publication date: September 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.03.046
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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