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Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing

Gürkan,G.
; 
Ozge,A.Y.
; 
Robinson,S.M.
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Date
1996
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IEEE, Piscataway
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Tilburg University Research Output Collection
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Gürkan, G, Ozge, A Y & Robinson, S M 1996, Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. in J M Charnes, D M Morrice, D T Brunner & J J Swain (eds), Proceedings of the 1996 Winter Simulation Conference. IEEE, Piscataway, New Jersey, pp. 337-344.
URI
https://hdl.handle.net/20.500.14602/3459
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