Nan Chen, Zhengyu Huang. A Wiener Measure Theoretic Approach to Pricing Extreme-value-related Derivatives. In Ann Dunkin, Ricki G. Ingalls, Enver Yücesan, Manuel D. Rossetti, Ray Hill, Björn Johansson, editors, Proceedings of the 2009 Winter Simulation Conference, WSC 2009, Hilton Austin Hotel, Austin, TX, USA, December 13-16, 2009. pages 1261-1271, WSC, 2009. [doi]
Abstract is missing.