"A general control variate method for multi-dimensional SDEs: An ..."

Kenichiro Shiraya, Akihiko Takahashi (2017)

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DOI: 10.1016/J.EJOR.2016.08.060

access: closed

type: Journal Article

metadata version: 2020-02-21

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Kenichiro Shiraya, Akihiko Takahashi:
A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance. Eur. J. Oper. Res. 258(1): 358-371 (2017)

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