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"Quasi-Monte Carlo simulation for American option sensitivities."

Jiangming Xiang, Xiaoqun Wang (2022)

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DOI: 10.1016/J.CAM.2022.114268

access: closed

type: Journal Article

metadata version: 2022-07-26

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Jiangming Xiang, Xiaoqun Wang:
Quasi-Monte Carlo simulation for American option sensitivities. J. Comput. Appl. Math. 413: 114268 (2022)

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