JDOI variance reduction method and the pricing of American-style options
Work
Year: 2021
Type: article
Abstract: This article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in Heath and Platen (2002) and extends its theoretical concept to the pricing of American-s... more
Source: Quantitative Finance
Authors Johan Auster, Ludovic Mathys, Fabio Maeder
Institutions University of Copenhagen, University of Zurich, ETH Zurich
Cites: 50
Cited by: 1
Related to: 10
FWCI: 0.198
Citation percentile (by year/subfield): 46.12
Subfield: Finance
Domain: Social Sciences
Open Access status: green