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A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
Wang, Yongqiang, Fu, Michael C., Marcus, Steven I.Volume:
60
Langue:
english
Journal:
Operations Research
DOI:
10.1287/opre.1110.1018
Date:
April, 2012
Fichier:
PDF, 299 KB
english, 2012