A general control variate method for option pricing under Levy processes
- Author
- DINCER DINGEC, Kemal1 ; HÖRMANN, Wolfgang1
[1] Department of Industrial Engineering, Boğaziçi University, 34342 Bebek-Istanbul, Turkey - Source
European journal of operational research. 2012, Vol 221, Num 2, pp 368-377, 10 p ; ref : 3/4 p
- CODEN
- EJORDT
- ISSN
- 0377-2217
- Scientific domain
- Control theory, operational research
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Control variate Finance Levy processes Monte Carlo simulation Numerical inversion Option pricing
- Keyword (fr)
- Bourse valeurs Finance Fixation prix Fonction densité probabilité Inverse généralisé Inversion Modélisation Mouvement brownien Méthode Monte Carlo Option asiatique Option financière Processus Gauss Processus Lévy Processus stochastique Réduction variance Solution exacte Tarification
- Keyword (en)
- Stock exchange Finance Pricing Probability density function Generalized inverse Inversion Modeling Brownian motion Monte Carlo method Asian option Financial option Gaussian process Lévy process Stochastic process Variance reduction Exact solution Tariffication
- Keyword (es)
- Bolsa valores Finanzas Fijación precios Función densidad probabilidad Inverso generalizado Inversión Modelización Movimiento browniano Método Monte Carlo Opción asiatica Opción financiera Proceso Gauss Proceso Lévy Proceso estocástico Reducción variancia Solución exacta Tarificación
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01K Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications)
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Mathematics Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 25899814
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.ejor.2012.03.046 
https://dx.doi.org/10.1016/j.ejor.2012.03.046
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