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A new variance reduction method for option pricing based on sampling the vertices of a simplex Park, Jong Jun; Choe, Geon Ho, QUANTITATIVE FINANCE, v.16, no.8, pp.1165 - 1173, 2016-08 |
(A) new variance reduction, pricing method and model for option and insurance = 옵션 및 보험을 위한 새로운 분산 축소 기법, 가격 계산 방법 및 모형link Park, Jong Jun; Choe, Geon Ho; et al, 한국과학기술원, 2018 |
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