Option pricing via Monte Carlo Simulation: A weak derivative approach

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	335-349
Number of pages	15
Journal	Probability in the Engineering and Informational Sciences
Volume	15
Issue number	3
DOIs	https://doi.org/10.1017/S0269964801153040
Publication status	Published - 2001

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title = "Option pricing via Monte Carlo Simulation: A weak derivative approach",

author = "B.F. Heidergott",

year = "2001",

doi = "10.1017/S0269964801153040",

language = "English",

volume = "15",

pages = "335--349",

journal = "Probability in the Engineering and Informational Sciences",

issn = "0269-9648",

publisher = "Cambridge University Press",

number = "3",

}

TY - JOUR

T1 - Option pricing via Monte Carlo Simulation: A weak derivative approach

AU - Heidergott, B.F.

PY - 2001

Y1 - 2001

U2 - 10.1017/S0269964801153040

DO - 10.1017/S0269964801153040

M3 - Article

SN - 0269-9648

VL - 15

SP - 335

EP - 349

JO - Probability in the Engineering and Informational Sciences

JF - Probability in the Engineering and Informational Sciences

IS - 3

ER -