haku: @author Lindset, S. / yhteensä: 3
viite: 2 / 3
Tekijä:Lindset, S.
Lund, A-C.
Otsikko:A technique for reducing discretization bias from Monte Carlo simulations: Option pricing under stochastic interest rates
Lehti:European Journal of Finance
2007 : JUL/SEP, VOL. 13:5-6, p. 545-564
Asiasana:international
finance
options
pricing
interest rates
Monte Carlo technique
simulation
models
Kieli:eng
Tiivistelmä:This paper aims at showing that a control variate can be applied to reduce the bias stemming from the discretization of the state variable dynamics. This is especially valuable when stochastic interest rate models are discretized, since bias reduction through more grid points is computationally expensive.
SCIMA tietueen numero: 269249
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