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"Efficient simulation of Greeks of multiasset European and Asian style ..."
Yongjia Xu, Yongzeng Lai, Haixiang Yao (2014)
- Yongjia Xu, Yongzeng Lai, Haixiang Yao:
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. Appl. Math. Comput. 236: 493-511 (2014)
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