Monte Carlo pathwise sensitivities for barrier options
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- Paul Glasserman & Jeremy Staum, 2001. "Conditioning on One-Step Survival for Barrier Option Simulations," Operations Research, INFORMS, vol. 49(6), pages 923-937, December.
- Peter G Zhang, 1998. "Exotic Options:A Guide to Second Generation Options," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3800, August.
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