most citedThe Maximum Number of 3- and 4-Cliques within a Planar Maximally Filtered Graph

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q-fin.PR2018

Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation

Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous +1

Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and es…