Efficient simulations for option pricing

被引：1
|
作者：
Staum, J [1 ]
机构：
[1] Northwestern Univ, Evanston, IL 60208 USA
来源：
PROCEEDINGS OF THE 2003 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 | 2003年
关键词：
D O I：
10.1109/WSC.2003.1261432
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This paper presents an overview of techniques for improving the efficiency of option pricing simulations, including quasi- Monte Carlo methods, variance reduction, and methods for dealing with discretization error.
引用
收藏
页码：258 / 266
页数：9
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