Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

Quantitative Finance

Volumn 4, Issue 5, 2004, Pages 597-606

  Fouque, Jean Pierre ^a   Han, Chuan Hsiang ^b  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF MINNESOTA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 12144273866     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680400000041     Document Type: Article

References (14)

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