Monte Carlo Option Pricing
The Monte Carlo method is applied to various cases of financial option pricing. Its performance is satisfactory in terms of accuracy when it is compared to other numerical methods. The precision of the estimates provided by Crude Monte Carlo can be improved by implementing variance reduction techniq...
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| Опубликовано в:: | Lecturas de Economía |
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| Главный автор: | |
| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
Universidad de Antioquia
2004
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| Предметы: | |
| Online-ссылка: | https://www.redalyc.org/articulo.oa?id=155217794003 |
| Метки: |
Нет меток, Требуется 1-ая метка записи!
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