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Jin-Chuan Duan
Information about the author Jin-Chuan Duan will soon be added to the site.
Found
2 papers
in total
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Asymptotic distribution of the empirical martingale simulation option price estimator
2001
Monte Carlo simulation is commonly used for computing prices of derivative securities...
Empirical martingale simulation for asset prices
1998
This paper proposes a simple modification to the standard Monte Carlo simulation...
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