Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
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Publication:2875011
DOI10.1137/13091556XzbMath1293.91190MaRDI QIDQ2875011
Publication date: 13 August 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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