Article ID Journal Published Year Pages File Type
4959975 European Journal of Operational Research 2017 14 Pages PDF
Abstract
In numerical experiments, we apply the new control variate method to pricing basket, spread, and average options and Delta of basket options under a ZABR-type local stochastic volatility model with jumps, and confirm that our method works very well.
Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
Authors
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