"Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying ..."

Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier (2014)

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DOI: 10.1137/130923221

access: closed

type: Journal Article

metadata version: 2017-05-17

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Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier:
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. SIAM J. Financial Math. 5(1): 557-580 (2014)

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