"Exact retrospective Monte Carlo computation of arithmetic average Asian ..."

Benjamin Jourdain, Mohamed Karim Sbai (2007)

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DOI: 10.1515/MCMA.2007.008

access: closed

type: Journal Article

metadata version: 2020-07-03

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Benjamin Jourdain, Mohamed Karim Sbai:
Exact retrospective Monte Carlo computation of arithmetic average Asian options. Monte Carlo Methods Appl. 13(2): 135-171 (2007)

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