Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
|Author||Kemal Dingec, Wolfgang Hormann|
|Date of publication||2014-11-08 17:10:10|
|Maintainer||Wolfgang Hormann <[email protected]>|
|License||GPL-2 | GPL-3|
|Package repository||View on CRAN|
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