搜索结果: 1-1 共查到“数量经济学 Conditional sampling”相关记录1条 . 查询时间(0.109 秒)
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...