A dimension and variance reduction Monte-Carlo method for...

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Applied Mathematical Finance 2017 / 09

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

Dang, Duy-Minh, Jackson, Kenneth R., Sues, Scott
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Language:
english
Journal:
Applied Mathematical Finance
DOI:
10.1080/1350486X.2017.1358646
Date:
September, 2017
File:
PDF, 2.86 MB
english, 2017
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