Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-011-9228-9.pdf
Reference22 articles.
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4. Brigo D, Mercurio F, Rapisarda F (2004b) Smile at the uncertainty. Risk 17(5):97–101
5. Caflisch R, Morokoff W, Owen A (1997) Valuation of Mortgage-backed securities using Brownian bridges to reduce effective dimension. J Comput Financ 1(1):27–46
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