Title :
Variance Reduction for Monte Carlo Simulation of European, American or Barrier Options in a Stochastic Volatility Environment
Author :
Jean-Pierre Fouque استاد راهنما , Kazufumi Ito استاد مشاور , Ethelbert Chukwu استاد مشاور
University :
Virginia Polytechnic Institute and state University
Major :
PhD )Applied Mathematics(
Keyword :
variance reduction , importance sampling , fast mean-reverting asymptotics
