Test of Log-Normal Process with Importance Sampling for Options Pricing
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References listed on IDEAS
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More about this item
Keywords
Options pricing; lognormal process; variance reduction; importance sampling; moneyness;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G00 - Financial Economics - - General - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2015-03-27 (Operations Research)
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