Hrmann Wolfgang

Wolfgang Hrmann

Information about the author Wolfgang Hrmann will soon be added to the site.
Found 2 papers in total
Using the continuous price as control variate for discretely monitored options
Using the continuous price as control variate for discretely monitored options
2011
Variance reduction is of highest importance in financial simulation. In this study, we...
A general control variate method for option pricing under Lévy processes
A general control variate method for option pricing under Lévy processes
2012
We present a general control variate method for simulating path dependent options...
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