Applying the Control Variate Technique to Numerical Option Pricing Models
碩士 === 國立中央大學 === 財務管理研究所 === 89 === For many complex options, analytical solutions are not available. In these cases a Monte Carlo simulation is an important numerical method. In its basic form, however, the Monte Carlo simulation is computationally inefficient, the control variate technique can be...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25161408985775228457 |