Accelerated simulation for pricing Asian options

Authors:
Felisa J. Vázquez-Abad;Daniel Dufresne
Affiliations:
Department of Computer Science and Operations Research, University of Montreal, Montréal, Québec H3C 3J7, CANADA;Department of Economics, University of Melbourne, Melbourne, AUSTRALIA
Venue:
Proceedings of the 30th conference on Winter simulation
Year:
1998

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Abstract