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Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
Imai, Junichi, Tan, Ken SengVolume:
36
Language:
english
Journal:
SIAM Journal on Scientific Computing
DOI:
10.1137/130926286
Date:
January, 2014
File:
PDF, 323 KB
english, 2014