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Efficient Monte Carlo Simulation of Security Prices
Efficient Monte Carlo Simulation Security Prices
2015/7/8
This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between i...
The Center for Research in Security Prices（(CRSP）
The Center for Research in Security Prices CRSP
2010/1/20
The Center for Research in Security Prices (CRSP), located in the center of the Chicago financial district, is an integral part of the University of Chicago’s Graduate School of Business. Chicago Boot...