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Reducing the variance of likelihood ratio greeks in Monte Carlo

Luca Capriotti. Reducing the variance of likelihood ratio greeks in Monte Carlo. In Scott J. Mason, Raymond R. Hill, Lars Mönch, Oliver Rose, Thomas Jefferson, John W. Fowler, editors, Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, WSC 2008, InterContinental Hotel, Miami, Florida, USA, December 7-10, 2008. pages 587-593, WSC, 2008. [doi]

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