An Importance Sampling-Based Smoothing Approach for Quasi-Monte Carlo Simulation of Discrete Barrier Options
Xie, Fei, He, Zhijian, Wang, XiaoqunLanguage:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2018.10.030
Date:
October, 2018
File:
PDF, 783 KB
english, 2018