Control variates and conditional Monte Carlo for basket and Asian options
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Publication:2443219
DOI10.1016/j.insmatheco.2013.03.002zbMath1284.91570OpenAlexW1970710195MaRDI QIDQ2443219
Kemal Dinçer Dingeç, Wolfgang Hörmann
Publication date: 4 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.002
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ A hybrid Monte Carlo acceleration method of pricing basket options based on splitting ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Expected shortfall computation with multiple control variates ⋮ Efficient Monte Carlo option pricing under CEV model ⋮ An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
Uses Software
Cites Work
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