Wusterhausen, Frank An analysis of path-dependent options. (English) Zbl 1336.91081 J. Optim. Theory Appl. 167, No. 3, 874-887 (2015). MSC: 91G20 35K65 35B30 35Q91 PDFBibTeX XMLCite \textit{F. Wusterhausen}, J. Optim. Theory Appl. 167, No. 3, 874--887 (2015; Zbl 1336.91081) Full Text: DOI
Cufaro Petroni, Nicola; Sabino, Piergiacomo Multidimensional quasi-Monte Carlo Malliavin Greeks. (English) Zbl 1345.91082 Decis. Econ. Finance 36, No. 2, 199-224 (2013). MSC: 91G60 91G20 60H07 PDFBibTeX XMLCite \textit{N. Cufaro Petroni} and \textit{P. Sabino}, Decis. Econ. Finance 36, No. 2, 199--224 (2013; Zbl 1345.91082) Full Text: DOI arXiv
Cufaro Petroni, Nicola; Sabino, Piergiacomo Pricing and hedging Asian basket options with quasi-Monte Carlo simulations. (English) Zbl 1267.91079 Methodol. Comput. Appl. Probab. 15, No. 1, 147-163 (2013). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{N. Cufaro Petroni} and \textit{P. Sabino}, Methodol. Comput. Appl. Probab. 15, No. 1, 147--163 (2013; Zbl 1267.91079) Full Text: DOI arXiv
Sabino, Piergiacomo Implementing quasi-Monte Carlo simulations with linear transformations. (English) Zbl 1231.91480 Comput. Manag. Sci. 8, No. 1-2, 51-74 (2011). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{P. Sabino}, Comput. Manag. Sci. 8, No. 1--2, 51--74 (2011; Zbl 1231.91480) Full Text: DOI arXiv