"A hybrid Monte Carlo acceleration method of pricing basket options based ..."

Yongchao Sun, Chenglong Xu (2018)

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DOI: 10.1016/J.CAM.2018.03.045

access: closed

type: Journal Article

metadata version: 2020-02-20

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Yongchao Sun, Chenglong Xu:
A hybrid Monte Carlo acceleration method of pricing basket options based on splitting. J. Comput. Appl. Math. 342: 292-304 (2018)

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