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Juan Miguel Montes
Publication Activity (10 Years)
Years Active: 2014-2014
Publications (10 Years): 0
Top Topics
Markov Process
Finite State
Variance Reduction
Monte Carlo
Top Venues
SIAM J. Financial Math.
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Publications
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Juan Miguel Montes
,
Valentina Prezioso
,
Wolfgang J. Runggaldier
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process.
SIAM J. Financial Math.
5 (1) (2014)