Art

J-GLOBAL ID：202002275740936360   Reference number：20A0791854

A general control variate method for Levy models in finance

金融におけるLevyモデルのための一般制御変量法【JST・京大機械翻訳】

Author (3)： Shiraya Kenichiro (Graduate School of Economics, The University of Tokyo, Japan) ,  Uenishi Hiroki (Graduate School of Economics, The University of Tokyo, Japan) ,  Yamazaki Akira (Graduate School of Business Administration, Hosei University, Japan)
Material： European Journal of Operational Research  (Eur J Oper Res)
Volume： 284  Issue： 3  Page： 1190-1200  Publication year： 2020 
JST Material Number： A0547A  ISSN： 0377-2217  Document type： Article
Article type： 原著論文  Country of issue： Netherlands (NLD)  Language： ENGLISH (EN)

Abstract/Point： This study proposes a new cont...

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Thesaurus term： Gaussian model ,  Brownian motion ,  *finance (bank) ,  pricing ,  numerical experiment ,  path dependence ,  Monte Carlo simulation ,  decision

Author keywords (4)： Control variate ,  Monte Carlo simulation ,  Levy process ,  Path-dependent options

JST classification (1)： Computer utilization technology in general  (JE01000C)

Terms in the title (3)： 金融 ,  モデル ,  変量