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Filtering by: Keyword variance-reduction techniques Year 2004

Evaluating of path-dependent securities with low discrepancy methods

Keyword:

path-dependent securities, Quasi- Monte Carlo, low-discrepancy methods, and variance-reduction techniques

Creator:

Krykova, Inna

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2004-01-13

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences