"Monte Carlo acceleration method for pricing variance derivatives under ..."

Junmei Ma, Chenglong Xu (2014)

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DOI: 10.1080/00207160.2013.866654

access: closed

type: Journal Article

metadata version: 2018-11-02

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Junmei Ma, Chenglong Xu:
Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion. Int. J. Comput. Math. 91(9): 2039-2059 (2014)

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