Using the continuous price as control variate for...

Mathematics and Computers in Simulation 2011 Vol. 82; Iss. 4

Using the continuous price as control variate for discretely monitored options

Kemal Dinçer Dingeç, Wolfgang Hörmann
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Volume:
82
Year:
2011
Language:
english
Pages:
14
DOI:
10.1016/j.matcom.2011.09.007
File:
PDF, 230 KB
english, 2011
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