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"Conditioning on One-Step Survival for Barrier Option Simulations."

Paul Glasserman, Jeremy Staum (2001)

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DOI: 10.1287/OPRE.49.6.923.10018

access: closed

type: Journal Article

metadata version: 2020-03-31

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  - journals/ior/GlassermanS01
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Paul Glasserman, Jeremy Staum:
Conditioning on One-Step Survival for Barrier Option Simulations. Oper. Res. 49(6): 923-937 (2001)

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