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An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate.

Yijuan LiangChenglong Xu
Published in: Int. J. Comput. Math. (2020)
Keyphrases
  • monte carlo method
  • monte carlo
  • option pricing
  • markov chain
  • non stationary
  • stock price
  • stochastic process