Valuation of barrier options using sequential Monte Carlo - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles The Journal of Computational Finance Year : 2016

Dates and versions

hal-01669199 , version 1 (20-12-2017)

Identifiers

Cite

Pavel V. Shevchenko, Pierre del Moral. Valuation of barrier options using sequential Monte Carlo. The Journal of Computational Finance, 2016, ⟨10.21314/JCF.2016.324⟩. ⟨hal-01669199⟩
51 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More