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Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (2012)

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/10.1137/110841916

Publication URI: http://dx.doi.org/10.1137/110841916

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 1