Adjoint-based Monte Carlo calibration of financial market models
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Volume (Year): 13 (2009)
Issue (Month): 3 (September)
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- Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010.
"A comparison of biased simulation schemes for stochastic volatility models,"
Taylor & Francis Journals, vol. 10(2), pages 177-194.
- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. Full references (including those not matched with items on IDEAS)
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