Using exotic option prices as control variates in Monte Carlo pricing under a local-stochastic volatility model

Geoffrey Lee, Zili Zhu, Yu Tian

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Original languageEnglish
Title of host publicationIAENG Transactions on Engineering Sciences
Subtitle of host publicationSpecial Issue for the International Association of Engineers Conferences 2014
EditorsSio-long Ao, Alan Hoi-shou Chan, Hideki Katagiri, Li Xu
Place of PublicationToh Tuck Link Singapore
PublisherWorld Scientific Publishing
Pages15-28
Number of pages14
ISBN (Print)978-981-4667-35-7
DOIs
Publication statusPublished - 2015
EventWorld Congress on Engineering 2014 - Imperial College London, London, United Kingdom
Duration: 2 Jul 20144 Jul 2014
http://www.iaeng.org/WCE2014/

Conference

ConferenceWorld Congress on Engineering 2014
Abbreviated titleWCE 2014
CountryUnited Kingdom
CityLondon
Period2/07/144/07/14
Internet address

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