A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models
Year of publication: |
2005
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Authors: | Chiarella, Carl ; Clewlow, Les ; Musti, Silvana |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 161.2005, 2, p. 325-336
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Publisher: |
Elsevier |
Saved in:
Online Resource
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