An efficient conditional Monte Carlo method for European...

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  • An efficient conditional Monte Carlo method for European...

An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

Liang, Yijuan, Xu, Chenglong
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Journal:
International Journal of Computer Mathematics
DOI:
10.1080/00207160.2019.1584671
Date:
February, 2019
File:
PDF, 1.75 MB
2019
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