Open AccessImplementation of dimension reduction Monte Carlo method to determine option price under six-factor cross currency model
Author(s) -
N. Jennifer,
B. D. Handari,
Gatot Fatwanto Hertono
Publication year - 2020
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/5.0008152
Subject(s) - monte carlo method , quasi monte carlo method , monte carlo methods for option pricing , variance reduction , dimension (graph theory) , mathematical optimization , hybrid monte carlo , mathematics , computer science , econometrics , markov chain monte carlo , statistics , pure mathematics
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