Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options

DOI10.1007/978-3-642-04107-5_34zbMath1182.91203OpenAlexW177443672MaRDI QIDQ3405464

R. N. Makarov

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_34

zbMATH Keywords

asset pricingconstant elasticity of variancevariance gammaCEVVG

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Uses Software

• Cuba

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