Publication | Closed Access
Option Pricing when the Variance is Changing
384
Citations
28
References
1987
Year
Stochastic SimulationVolatility ModelingOption PricingEngineeringAsset PricingUncertainty QuantificationMonte CarloMonte Carlo MethodDerivative PricingMonte Carlo MethodsBusinessModeling And SimulationMarkov Chain Monte CarloMonte Carlo SamplingSequential Monte CarloStatistics
The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.
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