A general control variate method for option pricing under Lévy processes

KD Dingec, W Hörmann - European Journal of Operational Research, 2012 - Elsevier
We present a general control variate method for simulating path dependent options under
Lévy processes. It is based on fast numerical inversion of the cumulative distribution …
被引用次数：38 相关文章

A general control variate method for option pricing under Lévy processes

KD Dingeç, W Hörmann - European Journal of Operational …, 2012 - econpapers.repec.org
We present a general control variate method for simulating path dependent options under
Lévy processes. It is based on fast numerical inversion of the cumulative distribution …

A general control variate method for option pricing under Lévy processes

KD Dingeç, W Hörmann - European Journal of Operational …, 2012 - ideas.repec.org
We present a general control variate method for simulating path dependent options under
Lévy processes. It is based on fast numerical inversion of the cumulative distribution …

A general control variate method for option pricing under Levy processes

KD Dingec, W Hormann - 2012 - aperta.ulakbim.gov.tr
We present a general control variate method for simulating path dependent options under
Levy processes. It is based on fast numerical inversion of the cumulative distribution …

A general control variate method for option pricing under Lévy processes

KD Dingeç, W Hörmann - European Journal of Operational Research, 2012 - infona.pl
We present a general control variate method for simulating path dependent options under
Lévy processes. It is based on fast numerical inversion of the cumulative distribution …

[引用][C] A general control variate method for option pricing under Levy processes

K DINCER DINGEC… - European journal of …, 2012 - pascal-francis.inist.fr
A general control variate method for option pricing under Levy processes CNRS Inist Pascal-Francis
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[引用][C] A general control variate method for option pricing under Lévy processes

KD Dingeç, W Hörmann - European Journal of Operational Research, 2012 - cir.nii.ac.jp
A general control variate method for option pricing under Lévy processes | CiNii Research
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A general control variate method for option pricing under Levy processes

KD Dingec, W Hormann - 2012 - aperta.ulakbim.gov.tr
We present a general control variate method for simulating path dependent options under
Levy processes. It is based on fast numerical inversion of the cumulative distribution …

[引用][C] A general control variate method for option pricing under Levy processes

K DINCER DINGEC, W HÖRMANN - European journal of operational …, 2012 - Elsevier