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Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.
;
Del Moral, Pierre
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
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A simple discretization scheme for nonnegative diffusion processes with application to option pricing
Labbé, Chantal
;
Remillard, Bruno
;
Renaud, Jean-François
- In:
The journal of computational finance
15
(
2011/12
)
2
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pp. 3-35
Persistent link: https://www.econbiz.de/10009424806
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