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Volumn 1, Issue , 1999, Pages 336-343
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Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance
a
a
HEC MONTRÉAL
(Canada)
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Author keywords
[No Author keywords available]
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Indexed keywords
ECONOMICS;
FINANCE;
MARKETING;
MATHEMATICAL MODELS;
MONTE CARLO METHODS;
PARAMETER ESTIMATION;
PROBLEM SOLVING;
RANDOM PROCESSES;
RESPONSE TIME (COMPUTER SYSTEMS);
BROWNIAN BRIDGE TECHNIQUE;
QUASI MONTE CARLO ESTIMATORS;
STOCHASTIC VOLATILITY MODELS;
VARIANCE REDUCTION METHOD;
COMPUTER SIMULATION;
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EID: 0033312250
PISSN: 02750708
EISSN: None
Source Type: Conference Proceeding
DOI: 10.1145/324138.324237 Document Type: Conference Paper |
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Times cited : (6)
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References (30)
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