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PRICING EXOTIC OPTIONS

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Publication:2709776
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DOI10.1017/S0269964800143037zbMath0973.91044OpenAlexW2101099569MaRDI QIDQ2709776

Sheldon M. Ross, J. George Shanthikumar

Publication date: 2000

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800143037


zbMATH Keywords

European optionsimulation proceduresBrownian motion risk


Mathematics Subject Classification ID


Related Items (1)

On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo







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