scientific article

DOI10.3969/j.issn.0253-374x.2014.04.023zbMath1313.91188MaRDI QIDQ2924611

Yijuan Liang, Cheng-long Xu

Publication date: 3 November 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatility modelconditional Monte Carlo simulationEuropean options pricingmartingale control variates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

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