Efficient Control Variates for Monte-Carlo Valuation of American Options

Nicki Søndergaard Rasmussen ()
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Nicki Søndergaard Rasmussen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark, http://www.asb.dk/EOK/FIN/STAFF/NSR_FORM.HTM

No 02-17, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Pages: 50 pages
Date: 2002-05-09
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (5)

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