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Option Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods.
Yongjia Xu
Yongzeng Lai
Yan Zeng
Published in:
BIFE (2012)
Keyphrases
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monte carlo methods
low discrepancy sequences
monte carlo
monte carlo method
bayesian networks
markov chain
dynamic programming
simulated annealing
mathematical model