Exact retrospective Monte Carlo computation of arithmetic average Asian options
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Publication:5421246
DOI10.1515/mcma.2007.008zbMath1192.91178arXiv0704.1433OpenAlexW2123232459MaRDI QIDQ5421246
Mohamed Karim Sbai, Benjamin Jourdain
Publication date: 22 October 2007
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0704.1433
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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