OptionPricing: Option Pricing with Efficient Simulation Algorithms

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.

AuthorKemal Dingec, Wolfgang Hormann
Date of publication2014-11-08 17:10:10
MaintainerWolfgang Hormann <hormannw@boun.edu.tr>
LicenseGPL-2 | GPL-3
Version0.1

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