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Adaptive Quasi-Monte Carlo Brownian Bridge Algorithm for Pricing Continuously Monitored Barrier Options
Author(s)
Sokolov, Andrey
Type
Dissertation
Version
Imperial Users only
Date Issued
2012
Date Awarded
2012
URI
Format Extent
1627441 bytes
Creator
Sokolov, Andrey
Description Note
Distinction
Publisher Department
Imperial College Business School
Publisher Institution
Imperial College London
Qualification Level
Masters
Qualification Name
MSc
Course Name
MSc Risk Management & Financial Engineering