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Ye Xiao, Xiaoqun Wang. Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions. J. Computational Applied Mathematics, 343:289-308, 2018. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension ReductionXiaoqun Wang, Ken Seng Tan. mansci, 59(2):376-389, 2013. [doi] Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option PricingXiaoqun Wang. informs, 21(3):488-504, 2009. [doi]
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