American option pricing with randomized quasi-Monte Carlo simulations-Reference-Cited by-同舟云学术

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American option pricing with randomized quasi-Monte Carlo simulations

Published:2010-12 Issue: Volume: Page:
ISSN:
Container-title:Proceedings of the 2010 Winter Simulation Conference
language:
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Author:

Dion Maxime,L'Ecuyer Pierre

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx5/5672636/5678856/05678966.pdf?arnumber=5678966

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing of Asian Options and Barrier Options for The Microsoft Corporation Based on Monte-Carlo Simulation;BCP Business & Management;2023-02-01

2. Quasi-Monte Carlo simulation for American option sensitivities;Journal of Computational and Applied Mathematics;2022-10

3. Monte Carlo Methods for Pricing American Options;Advances in Modeling and Simulation;2022

4. Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks;Bulletin of Mathematical Biology;2021-07-08

5. Randomized Quasi‐Monte Carlo;Wiley StatsRef: Statistics Reference Online;2020-11-04

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