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An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic L[e-acute]vy Process.

Junichi ImaiKen Seng Tan
Published in: SIAM J. Sci. Comput. (2009)
Keyphrases
  • monte carlo method
  • option pricing
  • markov chain
  • neural network
  • data mining
  • machine learning
  • text mining
  • artificial intelligence
  • objective function
  • monte carlo
  • sensitivity analysis