Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options

Kemal Dinçer Dingeç, Wolfgang Hörmann. Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options. In Stephen J. Buckley, John A. Miller, editors, Proceedings of the 2014 Winter Simulation Conference, Savannah, GA, USA, December 7-10, 2014. pages 441-452, IEEE/ACM, 2014. [doi]

Abstract

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