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Efficient simulation for greeks and bridges under diffusion models = 확산 모형에서의 민감도와 브리지 계산을 위한 효율적인 시뮬레이션 방법link Lee, Jong Mun; 이종문; et al, 한국과학기술원, 2017 |
Exact simulation of the wishart multidimensional stochastic volatility model Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun, OPERATIONS RESEARCH, v.65, no.5, pp.1190 - 1206, 2017-09 |
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes Kang, Wanmo; Lee, Jong Mun, MATHEMATICS OF OPERATIONS RESEARCH, v.44, no.1, pp.334 - 353, 2019-02 |
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