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.

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

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