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"Importance Sampling for Option Greeks with Discontinuous Payoffs."

Shaolong Tong, Guangwu Liu (2016)

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DOI: 10.1287/IJOC.2015.0674

access: closed

type: Journal Article

metadata version: 2020-03-15

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Shaolong Tong, Guangwu Liu:
Importance Sampling for Option Greeks with Discontinuous Payoffs. INFORMS J. Comput. 28(2): 223-235 (2016)

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