SIMULATION

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 11 in Pricing Derivative Securities, 2000, pp 483-512 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Generating Pseudorandom DeviatesUniform DeviatesDeviates from Other DistributionsVariance-Reduction TechniquesStratified SamplingImportance SamplingAntithetic VariatesControl VariatesRichardson ExtrapolationApplications‘Basket’ OptionsEuropean Options under Stochastic VolatilityLookback Options under Stochastic Volatility

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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