"An efficient conditional Monte Carlo method for European option pricing ..."

Yijuan Liang, Chenglong Xu (2020)

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DOI: 10.1080/00207160.2019.1584671

access: closed

type: Journal Article

metadata version: 2025-01-19

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Yijuan Liang, Chenglong Xu:
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate. Int. J. Comput. Math. 97(3): 638-655 (2020)

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