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Finanzmathematik
Option pricing theory
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Bernis, Guillaume
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Geiss, Stefan
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Wirtschaftsuniversität Wien - Universitätsbibliothek
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On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion
Geiss, Stefan
-
1999
This paper approximates stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used.
Persistent link: https://www.econbiz.de/10005841720
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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume
;
Gobet, Emmanuel
;
Kohatsu-Higa, Arturo
- In:
Mathematical finance : an international journal of …
13
(
2003
)
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pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
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