تصویر Somaye Grailoo Tanha
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Somaye Grailoo Tanha

۲مقاله
۰کنفرانس

مقالات Somaye Grailoo Tanha

مقاله کنفرانسی سال ۱۳۹۸ ۷۳۸ مشاهده

OPTION PRICING BY MULTILEVEL MONTE CARLO SIMULATION WITH NON-GEOMETRIC TIMESTEPS

Multi level Monte Carlo simulation that suggested by M B Giles 2008 is an efficient method for variance…

Monte Carlo simulationVariance Reduction Techniquesoption pricing
مقاله کنفرانسی سال ۱۳۹۸ ۷۵۴ مشاهده

Application of control variate technique in Asian option pricing

In this paper, we analyze variance reduction for pricing financial derivatives and we study the effect o…

variance reductionMont Carlo simulationarithmetic Asian options