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~person:"Rostan, Pierre"
~person:"Takahashi, Akihiko"
~subject:"Monte Carlo simulation"
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Rostan, Pierre
Takahashi, Akihiko
Joshi, Mark S.
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European journal of operational research : EJOR
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Journal of derivatives & hedge funds
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The journal of asset management
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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2
Pricing discrete double barrier options with a numerical method
Rostan, Pierre
;
Rostan, Alexandra
;
Racicot, François-Éric
- In:
The journal of asset management
16
(
2015
)
4
,
pp. 243-271
Persistent link: https://www.econbiz.de/10011413369
Saved in:
3
A probabilistic Monte Carlo model for pricing discrete barrier and compound real options
Rostan, Pierre
;
Rostan, Alexandra
;
Racicot, François-Éric
- In:
Journal of derivatives & hedge funds
20
(
2014
)
2
,
pp. 113-126
Persistent link: https://www.econbiz.de/10010462984
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