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A general control variate method for option pricing under Levy processes

Dingec, Kemal Dincer; Hormann, Wolfgang


BibTeX

@article{dingec_kemal_dincer_2012_87599,
  author       = {Dingec, Kemal Dincer and
                  Hormann, Wolfgang},
  title        = {{A general control variate method for option 
                   pricing under Levy processes}},
  journal      = {EUROPEAN JOURNAL OF OPERATIONAL RESEARCH},
  year         = 2012,
  volume       = 221,
  number       = 2,
  pages        = {368-377},
  month        = jan,
}
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