Open AccessImportance Sampling for Monte Carlo Simulation to Evaluate Collar Options under Stochastic Volatility Model
Author(s) -
Pengshi Li,
Wei Li,
Haidong Chen
Publication year - 2020
Publication title -
e+m. ekonomie a management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.318
H-Index - 22
eISSN - 2336-5064
pISSN - 1212-3609
DOI - 10.15240/tul/001/2020-2-010
Subject(s) - collar , monte carlo method , stochastic volatility , volatility (finance) , econometrics , computer science , economics , statistics , mathematics , finance