Conditional Sampling for Barrier Option Pricing under the...

Conditional Sampling for Barrier Option Pricing under the LT Method

Achtsis, Nico, Cools, Ronald, Nuyens, Dirk
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Volume:
4
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/110855909
Date:
January, 2013
File:
PDF, 386 KB
english, 2013
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