数学与计算机科学 |
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基于方差缩减的高维美式期权Monte Carlo模拟定价 |
陈金飚, 林荣斐 |
台州学院 数学与信息工程学院, 浙江 台州 317000 |
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A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction |
CHEN Jinbiao, LIN Rongfei |
School of Mathematics & Information Engineering, Taizhou University, Taizhou 317000, Zhejiang Province, China |
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