A new efficient simulation strategy for pricing path-dependent options

Proceedings - Winter Simulation Conference

Volumn , Issue , 2006, Pages 703-710

  Zhao, Gang ^a   Zhou, Yakun ^a   Vakili, Pirooz ^a  

^a Boston University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COSMIC RAY DETECTORS;

MONTE CARLO (MC); MONTE CARLO SIMULATION (MCS); NEW STRATEGY; SIMULATION STRATEGIES;

MONTE CARLO METHODS;

EID: 46149089693     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2006.323149     Document Type: Conference Paper

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