A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
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Publication:1698923
DOI10.1016/j.ejor.2016.08.060zbMath1380.91135OpenAlexW2333698569MaRDI QIDQ1698923
Kenichiro Shiraya, Akihiko Takahashi
Publication date: 16 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.08.060
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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