Variance Reduction via Simulation of Analytic Conditional Expectations

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：szywit01

【摘要】

：

　　We consider financial derivatives in models where the underlying stock price process has further stochastic parameters,for instance stochastic volatilities

【作者】

：

Reisinger Christoph

【机构】

：

Oxford Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We consider financial derivatives in models where the underlying stock price process has further stochastic parameters,for instance stochastic volatilities and stochastic interest rates.

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Variance Reduction via Simulation of Analytic Conditional Expectations

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