Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction

Published 2017 View Full Article

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Title
Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
Authors
Keywords
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Journal
SIAM JOURNAL ON SCIENTIFIC COMPUTING
Volume 39, Issue 2, Pages B298-B322
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Online
2017-03-22
DOI
10.1137/15m1050380

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