Efficient Monte Carlo pricing of European options using mean value control variates
type: Item
instance of: scholarly article
title: Efficient Monte Carlo pricing of European options using mean value control variates
zbMATH Open document ID: 1010.91051
author: R. Smith
published in: Decisions in Economics and Finance
publication date: 2003-05-22T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1760612
zbMATH Keywords: variance reduction method
zbMATH Keywords: multifactor options
MaRDI profile type: Publication
full work available at URL: s102030170002
OpenAlex ID: W1978405907
DOI: 10.1007/S102030170002
description: scientific article; zbMATH DE number 1760612