Efficient basket Monte Carlo option pricing via a simple analytical approximation
type: Item
instance of: scholarly article
title: Efficient basket Monte Carlo option pricing via a simple analytical approximation
zbMATH Open document ID: 1258.91220
author: Ralf Korn
author: Serkan Zeytun
published in: Journal of Computational and Applied Mathematics
publication date: 2013-02-21T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6138090
zbMATH Keywords: options based on arithmetic averages
zbMATH Keywords: sum of log-normal distributions
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: variance reduction methods
MaRDI profile type: Publication
full work available at URL: j.cam.2012.10.035
OpenAlex ID: W2067159205
DOI: 10.1016/J.CAM.2012.10.035
description: scientific article; zbMATH DE number 6138090