A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
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Publication:1887921
DOI10.1016/j.ejor.2003.08.045zbMath1134.91403OpenAlexW1965719157MaRDI QIDQ1887921
Silvana Musti, Les Clewlow, Carl Chiarella
Publication date: 22 November 2004
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/8313
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20)
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