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]
@inproceedings{ChenH09-25,
title = {A Wiener Measure Theoretic Approach to Pricing Extreme-value-related Derivatives},
author = {Nan Chen and Zhengyu Huang},
year = {2009},
doi = {10.1109/WSC.2009.5429559},
url = {http://dx.doi.org/10.1109/WSC.2009.5429559},
tags = {systematic-approach},
researchr = {https://researchr.org/publication/ChenH09-25},
cites = {0},
citedby = {0},
pages = {1261-1271},
booktitle = {Proceedings of the 2009 Winter Simulation Conference, WSC 2009, Hilton Austin Hotel, Austin, TX, USA, December 13-16, 2009},
editor = {Ann Dunkin and Ricki G. Ingalls and Enver Yücesan and Manuel D. Rossetti and Ray Hill and Björn Johansson},
publisher = {WSC},
}