Importance Sampling for Option Greeks with Discontinuous Payoffs

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Publication:3186649

DOI10.1287/ijoc.2015.0674zbMath1415.91292OpenAlexW2278747027MaRDI QIDQ3186649

Guangwu Liu, Shaolong Tong

Publication date: 12 August 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2015.0674




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