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"Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying ..."
Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier (2014)
- Juan Miguel Montes, Valentina Prezioso, Wolfgang J. Runggaldier:
Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. SIAM J. Financial Math. 5(1): 557-580 (2014)
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