scientific article; zbMATH DE number 7569345
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Publication:5095418
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Efficient Monte Carlo simulation of security prices
- On path integrals for the high-dimensional Brownian bridge
- Path-Dependent Options: Extending the Monte Carlo Simulation Approach
- Sensitivity analysis for Monte Carlo simulation of option pricing
- Stochastic calculus for finance. II: Continuous-time models.
Cited in
(4)- Efficient and accurate finite difference method for the four underlying asset ELS
- scientific article; zbMATH DE number 7673130 (Why is no real title available?)
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
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