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"A volatility decomposition control variate technique for Monte Carlo ..."

Carl Chiarella, Les Clewlow, Silvana Musti (2005)

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DOI: 10.1016/J.EJOR.2003.08.045

access: closed

type: Journal Article

metadata version: 2020-02-21

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Carl Chiarella, Les Clewlow, Silvana Musti:
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. Eur. J. Oper. Res. 161(2): 325-336 (2005)

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