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Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions.
Kemal Dinçer Dingeç
Published in:
Int. J. Comput. Math. (2019)
Keyphrases
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neural network
image sequences
video sequences
sensitivity analysis
numerical simulations
data sets
case study
probabilistic model
lightweight
computationally efficient
long range
fractal dimension