Efficient Simulations of Option Pricing and Greeks Under Three-Factor Model by Conditional Monte Carlo Method

Shanshan CHEN, Chenglong XU, Zhaokui SHI

Journal of Systems Science and Information ›› 2023, Vol. 11 ›› Issue (3) : 314-331.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Information ›› 2023, Vol. 11 ›› Issue (3) : 314-331. DOI: 10.21078/JSSI-E2022053
 

Efficient Simulations of Option Pricing and Greeks Under Three-Factor Model by Conditional Monte Carlo Method

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Information, 2023, 11(3): 314-331 https://doi.org/10.21078/JSSI-E2022053

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