Open AccessA Dimension and Variance Reduction Monte-Carlo Method for Option Pricing under Jump-Diffusion Models
Author(s) -
DuyMinh Dang,
Kenneth R. Jackson,
Scott Sues
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3032980
Subject(s) - jump diffusion , variance reduction , monte carlo method , control variates , dimension (graph theory) , statistical physics , jump , variance (accounting) , diffusion , mathematics , reduction (mathematics) , dimensionality reduction , quasi monte carlo method , econometrics , markov chain monte carlo , monte carlo molecular modeling , computer science , economics , statistics , physics , thermodynamics , geometry , combinatorics , accounting , quantum mechanics , artificial intelligence
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