EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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Publication:3393931
DOI10.4134/CKMS.2008.23.2.285zbMath1168.91397MaRDI QIDQ3393931
Publication date: 28 August 2009
Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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