Johan Christoffer K Auster
PhD Student
Department of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
ORCID: 0000-0002-0060-6024
1 - 2 out of 2Page size: 500
- 2022
- Published
JDOI variance reduction method and the pricing of American-style options
Auster, Johan Christoffer K, Mathys, L. & Maeder, F., 2022, In: Quantitative Finance. 22, 4, p. 639-656Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan Christoffer K, 18 Feb 2022, In: Journal of Computational Finance. 25, 4, p. 27-53 27 p., 2.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 240296379
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JDOI variance reduction method and the pricing of American-style options
Research output: Contribution to journal › Journal article › Research › peer-review
Published