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FPL
2010
Springer
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13 years 2 months ago
Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...