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Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2014)

First Author: Giles M

Attributed to: Development of Multilevel Monte Carlo Algorithms for Mathematical Finance funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1214/13-aap957

Publication URI: http://dx.doi.org/10.1214/13-aap957

Type: Journal Article/Review

Parent Publication: The Annals of Applied Probability

Issue: 4