JDOI variance reduction method and the pricing of American-style options
نویسندگان
چکیده
This article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in Heath and Platen (2002) extends its theoretical concept to pricing of America...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2021
ISSN: ['1469-7696', '1469-7688']
DOI: https://doi.org/10.1080/14697688.2021.1962959