An Importance Sampling-Based Smoothing Approach for...

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An Importance Sampling-Based Smoothing Approach for Quasi-Monte Carlo Simulation of Discrete Barrier Options

Xie, Fei, He, Zhijian, Wang, Xiaoqun
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Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2018.10.030
Date:
October, 2018
File:
PDF, 783 KB
english, 2018
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