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Valuation of barrier options using sequential Monte Carlo

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https://hal.inria.fr/hal-01669199
Contributor : Pierre del Moral <>
Submitted on : Wednesday, December 20, 2017 - 4:10:24 PM
Last modification on : Tuesday, December 1, 2020 - 2:10:10 PM

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Pavel Shevchenko, Pierre del Moral. Valuation of barrier options using sequential Monte Carlo. The Journal of Computational Finance, Incisive Media, 2016, ⟨10.21314/JCF.2016.324⟩. ⟨hal-01669199⟩

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