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Xu et al., 2013 - Google Patents

A new sampling strategy willow tree method with application to path-dependent option pricing

Xu et al., 2013

Document ID
11814202925268746228
Author
Xu W
Hong Z
Qin C
Publication year
Publication venue
Quantitative Finance

External Links

Snippet

The willow tree algorithm, first developed by Curran in 1998, provides an efficient option pricing procedure. However, it leads to a large bias through Curran's sampling strategy when the number of points at each time step is not large. Thus, in this paper, a new sampling …
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