Randomized quasi-Monte Carlo methods in pricing securities
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 28 (2004)
Issue (Month): 12 (December)
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Web page: http://www.elsevier.com/locate/jedc
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- Joshi, Mark & Yang, Chao, 2011. "Fast delta computations in the swap-rate market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 764-775, May.
- Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013. "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1342-1361.
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