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"An importance sampling-based smoothing approach for quasi-Monte Carlo ..."

Fei Xie, Zhijian He, Xiaoqun Wang (2019)

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DOI: 10.1016/J.EJOR.2018.10.030

access: closed

type: Journal Article

metadata version: 2020-02-21

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Fei Xie, Zhijian He, Xiaoqun Wang:
An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options. Eur. J. Oper. Res. 274(2): 759-772 (2019)

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